Consumption-investment optimization with Epstein-Zin utility in incomplete markets
type: Item
instance of: scholarly article
title: Consumption-investment optimization with Epstein-Zin utility in incomplete markets
zbMATH Open document ID: 1352.93107
author: Hao Xing
published in: Finance and Stochastics
publication date: 2017-01-12T00:00:00Z
full work available at URL: https://arxiv.org/abs/1501.04747
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 6674105
zbMATH Keywords: consumption-investment optimization
zbMATH Keywords: Epstein-Zin utility
zbMATH Keywords: backward stochastic differential equation
MaRDI profile type: Publication
OpenAlex ID: W3123163976
arXiv ID: 1501.04747
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DOI: 10.1007/S00780-016-0297-Z
description: scientific article