Optimal consumption and investment with Epstein-Zin recursive utility
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Publication:503395
DOI10.1007/S00780-016-0316-0zbMATH Open1352.93102OpenAlexW3122897715MaRDI QIDQ503395FDOQ503395
Authors: Holger Kraft, Thomas Seiferling, Frank Thomas Seifried 
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
Recommendations
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets
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- The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
- Convex duality for Epstein-Zin stochastic differential utility
- The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
incomplete marketsasset pricingfixed point approachstochastic differential utilityconsumption-portfolio choiceforward-backward stochastic differntial equation (FBSDE)
Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of operator theory in systems, signals, circuits, and control theory (47N70)
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Cited In (30)
- Time-inconsistent life-cycle consumption and retirement choice with mortality risk
- Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints
- Recursive utility and optimal growth with bounded or unbounded returns
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- Consumption-portfolio choice with preferences for cash
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- Epstein‐Zin utility maximization on a random horizon
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- Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences
- Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
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