The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
DOI10.1007/S00780-022-00495-6zbMATH Open1502.91054OpenAlexW4313288202MaRDI QIDQ2111245FDOQ2111245
Joseph W. Jerome, David 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
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backward stochastic differential equationsdiscounted aggregatorEpstein-Zin stochastic differential utilitylifetime investment and consumption
Portfolio theory (91G10) Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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- Stochastic Differential Utility
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Local martingales, bubbles and option prices
- A Mathematical Theory of Financial Bubbles
- Rational equilibrium asset-pricing bubbles in continuous trading models
- Stochastic differential utility as the continuous-time limit of recursive utility
- PDE solutions of stochastic differential utility
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets
- Efficient intertemporal allocations with recursive utility.
- Sensitivity of optimal consumption streams
- Convex duality for Epstein–Zin stochastic differential utility
- 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 \(\vartheta \in (0,1)\)
- Lifetime investment and consumption with recursive preferences and small transaction costs
- An elementary approach to the Merton problem
Cited In (4)
- 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
- An elementary approach to the Merton problem
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