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Finance and stochastics
Journal of economic theory
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1
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
Saved in:
3
Robust
utility
maximisation with intractable claims
Li, Yunhong
;
Xu, Zuo Quan
;
Zhou, Xun Yu
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 985-1015
Persistent link: https://www.econbiz.de/10014426411
Saved in:
4
Comonotone Pareto optimal allocations for law invariant robust utilities on L 1
Ravanelli, Claudia
;
Svindland, Gregor
- In:
Finance and stochastics
18
(
2014
)
1
,
pp. 249-269
Persistent link: https://www.econbiz.de/10010235452
Saved in:
5
Horizon dependence of
utility
optimizers in incomplete models
Larsen, Kasper
;
Yu, Hang
- In:
Finance and stochastics
16
(
2012
)
4
,
pp. 779-801
Persistent link: https://www.econbiz.de/10009623531
Saved in:
6
Consumption-portfolio optimization with recursive
utility
in incomplete markets
Kraft, Holger
;
Seifried, Frank Thomas
;
Steffensen, Mogens
- In:
Finance and stochastics
17
(
2013
)
1
,
pp. 161-196
Persistent link: https://www.econbiz.de/10009682287
Saved in:
7
Pseudo linear pricing rule for
utility
indifference valuation
Henderson, Vicky
;
Liang, Gechun
- In:
Finance and stochastics
18
(
2014
)
3
,
pp. 593-615
Persistent link: https://www.econbiz.de/10010395991
Saved in:
8
Utility
maximization and risk-minimization in life and pension insurance
Nielsen, Peter Holm
- In:
Finance and stochastics
10
(
2006
)
1
,
pp. 75-97
Persistent link: https://www.econbiz.de/10003234952
Saved in:
9
Utility
maximization with current
utility
on the wealth : regularity of solutions to the HJB equation
Federico, Salvatore
;
Gassiat, Paul
;
Gozzi, Fausto
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 415-448
Persistent link: https://www.econbiz.de/10011418169
Saved in:
10
A model for a large investor trading at market indifference prices : I: single-period case
Bank, Peter
;
Kramkov, Dmitry
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 449-472
Persistent link: https://www.econbiz.de/10011418186
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