Optimal consumption and portfolio selection with stochastic differential utility
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Publication:1961363
DOI10.1006/jeth.1999.2558zbMath0934.91029OpenAlexW3122650759MaRDI QIDQ1961363
Publication date: 25 April 2000
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jeth.1999.2558
Related Items (72)
A dynamic maximum principle for the optimization of recursive utilities under constraints. ⋮ Pricing Principle via Tsallis Relative Entropy in Incomplete Markets ⋮ Pricing long-lived securities in dynamic endowment economies ⋮ Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS ⋮ Term structure of interest rates under recursive preferences in continuous time ⋮ Numerical approach to asset pricing models with stochastic differential utility ⋮ Continuous-time smooth ambiguity preferences ⋮ LIFE INSURANCE AND PENSION CONTRACTS II: THE LIFE CYCLE MODEL WITH RECURSIVE UTILITY ⋮ Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences ⋮ Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty ⋮ Robust consumption and portfolio choice with derivatives trading ⋮ Gain/loss asymmetric stochastic differential utility ⋮ Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems ⋮ Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks ⋮ Dynamic choice with constant source-dependent relative risk aversion ⋮ Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents ⋮ Stochastic differential utility as the continuous-time limit of recursive utility ⋮ A generalized stochastic differential utility driven by \(G\)-Brownian motion ⋮ Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems ⋮ Consumption-portfolio optimization with recursive utility in incomplete markets ⋮ Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints ⋮ Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available ⋮ Necessary conditions for optimal control of forward-backward stochastic systems with random jumps ⋮ Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets ⋮ Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming ⋮ Optimal consumption for recursive preferences with local substitution -- the case of certainty ⋮ Epstein‐Zin utility maximization on a random horizon ⋮ Time-Inconsistent Recursive Stochastic Optimal Control Problems ⋮ Mean-variance portfolio selection under no-shorting rules: a BSDE approach ⋮ Dynamic portfolio choice under ambiguity and regime switching mean returns ⋮ Nonrecursive separation of risk and time preferences ⋮ Numerical solutions to optimal portfolio selection and consumption strategies under stochastic volatility ⋮ INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES ⋮ Optimal consumption and portfolio selection with stochastic differential utility ⋮ Affine processes and applications in finance ⋮ Efficient consumption set under recursive utility and unknown beliefs. ⋮ Shock elasticities and impulse responses ⋮ 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 ⋮ A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation ⋮ CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS ⋮ Robust consumption and portfolio choice for time varying investment opportunities ⋮ AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS ⋮ Optimal consumption and investment with Epstein-Zin recursive utility ⋮ Consumption-investment optimization with Epstein-Zin utility in incomplete markets ⋮ Well-posedness and regularity of backward stochastic Volterra integral equations ⋮ Portfolio selection: a review ⋮ The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility ⋮ Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences ⋮ Consumption optimization for recursive utility in a jump-diffusion model ⋮ Robust consumption and portfolio policies when asset prices can jump ⋮ Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information ⋮ Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities ⋮ Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income ⋮ Life insurance decisions under recursive utility ⋮ Generalized stochastic differential utility and preference for information ⋮ Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system ⋮ Backward stochastic Volterra integral equations and some related problems ⋮ Robust control and model misspecification ⋮ Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium ⋮ A stochastic programming approach for multi-period portfolio optimization ⋮ Forward-backward stochastic differential equations with mixed initial-terminal conditions ⋮ OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION ⋮ Robust consumption portfolio optimization with stochastic differential utility ⋮ Making mean-variance hedging implementable in a partially observable market ⋮ A polynomial scheme of asymptotic expansion for backward SDEs and option pricing ⋮ Efficient intertemporal allocations with recursive utility. ⋮ Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. ⋮ Robust utility maximization under convex portfolio constraints ⋮ 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 \(\vartheta \in (0,1)\) ⋮ The dynamics of risk-sensitive allocations ⋮ Stochastic recursive optimal control problem with time delay and applications
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