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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
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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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Stability of Radner equilibria with respect to small frictions
Herdegen, Martin; Muhle-Karbe, Johannes - In: Finance and stochastics 22 (2018) 2, pp. 443-502
Persistent link: https://www.econbiz.de/10011945802
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Equilibrium returns with transaction costs
Bouchard, Bruno; Fukasawa, Masaaki; Herdegen, Martin; … - In: Finance and stochastics 22 (2018) 3, pp. 569-601
Persistent link: https://www.econbiz.de/10011945871
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Equilibrium asset pricing with transaction costs
Herdegen, Martin; Muhle-Karbe, Johannes; Possamaï, Dylan - In: Finance and stochastics 25 (2021) 2, pp. 231-275
Persistent link: https://www.econbiz.de/10012499683
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Bubbles in discrete-time models
Herdegen, Martin; Kreher, Dörte - In: Finance and stochastics 26 (2022) 4, pp. 899-925
Persistent link: https://www.econbiz.de/10013440256