Epstein‐Zin utility maximization on a random horizon

DOI10.1111/mafi.12404arXiv1903.08782OpenAlexW3124082872MaRDI QIDQ6146695

Joshua Aurand, Yu-Jui Huang

Publication date: 31 January 2024

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.08782

zbMATH Keywords

backward stochastic differential equationsconsumption-investment problemEpstein-Zin utilitiesrandom horizons

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)

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