Optimal consumption and investment with Epstein-Zin recursive utility
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Publication:503395
DOI10.1007/S00780-016-0316-0zbMATH Open1352.93102OpenAlexW3122897715MaRDI QIDQ503395FDOQ503395
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Cited In (34)
- 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
- Optimal consumption for recursive preferences with local substitution -- the case of certainty
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- The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
- Epstein‐Zin utility maximization on a random horizon
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- Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
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- Optimal investment, consumption, and work effort choice with Cobb-Douglas utility and preferences for cash
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- Pandemic portfolio choice
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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
- Consumption optimization for recursive utility in a jump-diffusion model
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