The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations
Martin Herdegen, David Hobson, Joseph Jerome
| Year of publication: |
2023
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|---|---|
| Authors: | Herdegen, Martin ; Hobson, David G. ; Jerome, Joseph |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 27.2023, 1, p. 127-158
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| Subject: | Backward stochastic differential equations | Discounted aggregator | Epstein-Zin stochastic differential utility | Lifetime investment and consumption | Theorie | Theory | Stochastischer Prozess | Stochastic process | Nutzen | Utility | Analysis | Mathematical analysis | Risiko | Risk | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-022-00495-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013489501