The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations

DOI10.1007/S00780-022-00495-6MaRDI QIDQ2111245zbMATH OpenOpenAlexFDO

Authors Martin Herdegen, David Hobson, Joseph W. Jerome

Publication date 28 December 2022

Published in Finance and Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00780-022-00495-6

zbMATH Keywords

backward stochastic differential equationsdiscounted aggregatorEpstein-Zin stochastic differential utilitylifetime investment and consumption

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
• Consumption-investment optimization with Epstein-Zin utility in incomplete markets
• Optimal consumption and investment with Epstein-Zin recursive utility
• Convex duality for Epstein-Zin stochastic differential utility
• An optimal consumption and investment problem with stochastic hyperbolic discounting

Cites work

• A mathematical theory of financial bubbles
• An elementary approach to the Merton problem
• Consumption-investment optimization with Epstein-Zin utility in incomplete markets
• Convex duality for Epstein-Zin stochastic differential utility
• Efficient intertemporal allocations with recursive utility.
• Lifetime investment and consumption with recursive preferences and small transaction costs
• Local martingales, bubbles and option prices
• Optimal consumption and portfolio selection with stochastic differential utility
• PDE solutions of stochastic differential utility
• Rational equilibrium asset-pricing bubbles in continuous trading models
• Sensitivity of optimal consumption streams
• Stochastic Differential Utility
• Stochastic differential utility as the continuous-time limit of recursive utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• 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 \(\vartheta \in (0,1)\)

Cited in

(8)

• Epstein‐Zin utility maximization on a random horizon
• An elementary approach to the Merton problem
• Optimal consumption and Slutsky equation with Epstein-Zin type preference
• 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 \(\vartheta \in (0,1)\)
• Stability of the Epstein-Zin problem
• Consumption-investment optimization with Epstein-Zin utility in incomplete markets
• Optimal consumption and investment with Epstein-Zin recursive utility

This page was built for publication: The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2111245)