Optimal consumption and investment with Epstein-Zin recursive utility
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Cited in
(34)- Continuous-time portfolio choice under monotone mean-variance preferences -- stochastic factor case
- Epstein‐Zin utility maximization on a random horizon
- Optimal consumption and Slutsky equation with Epstein-Zin type preference
- Singular recursive utility
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- An expansion in the model space in the context of utility maximization
- Consumption-portfolio choice with preferences for cash
- Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions
- Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models
- Robust consumption and portfolio policies when asset prices can jump
- When to efficiently rebalance a portfolio
- Gain/loss asymmetric stochastic differential utility
- Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences
- Linked recursive preferences and optimality
- Pandemic portfolio choice
- Optimal consumption for recursive preferences with local substitution -- the case of certainty
- Time-inconsistent life-cycle consumption and retirement choice with mortality risk
- Recursive utility and optimal growth with bounded or unbounded returns
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- 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 \(\vartheta \in (0,1)\)
- Recursive utility and optimal capital accumulation. II: Sensitivity and duality theory
- Optimal investment, consumption, and work effort choice with Cobb-Douglas utility and preferences for cash
- Robust consumption and portfolio choice with derivatives trading
- Stability of the Epstein-Zin problem
- Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints
- On the parabolic equation for portfolio problems
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- Consumption optimization for recursive utility in a jump-diffusion model
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets
- Co-jumps and recursive preferences in portfolio choices
- Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
- Recursive utility and optimal capital accumulation. I: Existence
- Robust consumption portfolio optimization with stochastic differential utility
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