Optimal consumption and investment with Epstein-Zin recursive utility

DOI10.1007/s00780-016-0316-0zbMath1352.93102OpenAlexW3122897715MaRDI QIDQ503395

Holger Kraft, Frank Thomas Seifried, Thomas Seiferling

Publication date: 12 January 2017

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

Full work available at URL: https://doi.org/10.1007/s00780-016-0316-0

zbMATH Keywords

asset pricingincomplete marketsfixed point approachstochastic differential utilityconsumption-portfolio choiceforward-backward stochastic differntial equation (FBSDE)

Mathematics Subject Classification ID

Related Items (22)

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