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Search: subject:"Epstein-Zin stochastic differential utility"
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Epstein-Zin stochastic differential utility
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Lifetime investment and consumption
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Backward stochastic differential equations
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Herdegen, Martin
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Hobson, David G.
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Jerome, Joseph
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The infinite-horizon investment-consumption problem for
Epstein-Zin
stochastic
differential
utility
. I : foundations
Herdegen, Martin
;
Hobson, David G.
;
Jerome, Joseph
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 127-158
Persistent link: https://www.econbiz.de/10013489501
Saved in:
2
The infinite-horizon investment-consumption problem for
Epstein-Zin
stochastic
differential
utility
. II : existence, uniqueness and verification for θ ∈ (0, 1)
Herdegen, Martin
;
Hobson, David G.
;
Jerome, Joseph
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 159-188
Persistent link: https://www.econbiz.de/10013489503
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