The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for (0,1)
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The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
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Cites work
- An elementary approach to the Merton problem
- An essay on the general theory of stochastic processes
- Applications of Martingale System Theorems
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets
- Convex duality for Epstein-Zin stochastic differential utility
- scientific article; zbMATH DE number 3778410 (Why is no real title available?)
- scientific article; zbMATH DE number 52448 (Why is no real title available?)
- Lifetime investment and consumption with recursive preferences and small transaction costs
- Optimal consumption and investment with Epstein-Zin recursive utility
- Optimal consumption and portfolio selection with stochastic differential utility
- The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
- Th�orie des processus stochastiques g�n�raux applications aux surmartingales
Cited in
(10)- The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
- Optimal consumption and investment with Epstein-Zin recursive utility
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets
- Optimal consumption and Slutsky equation with Epstein-Zin type preference
- Epstein‐Zin utility maximization on a random horizon
- Stability of the Epstein-Zin problem
- Proper solutions for Epstein-Zin stochastic differential utility
- Consumption and portfolio optimization solvable problems with recursive preferences
- An economic interpretation and mathematical analysis of Epstein-zin stochastic differential utility for an infinite horizon when \(\theta <0\)
- Worst-case premiums and identification of homothetic robust Epstein-Zin utility under a quadratic model
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