The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
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Publication:2111245
DOI10.1007/s00780-022-00495-6zbMath1502.91054OpenAlexW4313288202MaRDI QIDQ2111245
Joseph W. Jerome, David G. Hobson, Martin Herdegen
Publication date: 28 December 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-022-00495-6
backward stochastic differential equationsdiscounted aggregatorEpstein-Zin stochastic differential utilitylifetime investment and consumption
Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (2)
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations ⋮ The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
Cites Work
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- The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
- The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
- Local martingales, bubbles and option prices
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