Consumption-investment optimization with Epstein-Zin utility in incomplete markets

Hao Xing

Year of publication:	January 2017
Authors:	Xing, Hao
Published in:	Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 1, p. 227-262
Subject:	Consumption-investment optimization \| Epstein-Zin utility \| Backward stochastic differential equation \| Unvollkommener Markt \| Incomplete market \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Analysis \| Mathematical analysis \| Nutzen \| Utility \| Hedging

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