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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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Utility theory front to back-inferring utility from agents' choices
Cox, Alexander M. G.; Hobson, David G.; Obłój, Jan - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-44
Persistent link: https://www.econbiz.de/10010364759
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Utility indifference pricing : an overview
Henderson, Vicky; Hobson, David G. - In: Indifference pricing : theory and applications, (pp. 44-73). 2009
Persistent link: https://www.econbiz.de/10003807578