Consumption-investment optimization with Epstein-Zin utility in incomplete markets
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Publication:503396
DOI10.1007/s00780-016-0297-zzbMath1352.93107arXiv1501.04747OpenAlexW3123163976MaRDI QIDQ503396
Publication date: 12 January 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.04747
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)
Related Items (14)
Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility ⋮ Gain/loss asymmetric stochastic differential utility ⋮ Existence and uniqueness of stochastic equations of optional semimartingales under monotonicity condition ⋮ Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions ⋮ Co-jumps and recursive preferences in portfolio choices ⋮ Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints ⋮ Epstein‐Zin utility maximization on a random horizon ⋮ Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach ⋮ Optimal consumption and investment with Epstein-Zin recursive utility ⋮ Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences ⋮ Robust consumption portfolio optimization with stochastic differential utility ⋮ On the parabolic equation for portfolio problems ⋮ 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 \(\vartheta \in (0,1)\)
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