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
- scientific article; zbMATH DE number 3778410 (Why is no real title available?)
- scientific article; zbMATH DE number 52448 (Why is no real title available?)
- 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
- 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
(8)- Consumption and portfolio optimization solvable problems with recursive preferences
- Proper solutions for Epstein-Zin stochastic differential utility
- The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
- Epstein‐Zin utility maximization on a random horizon
- Optimal consumption and Slutsky equation with Epstein-Zin type preference
- 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
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