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This paper introduces a dual problem to study a continuous-time consumption and investment problem with incomplete markets and Epstein-Zin stochastic differential utility. Duality between the primal and dual problems is established. Consequently the optimal strategy of this consumption and...
Persistent link: https://www.econbiz.de/10013001483
We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete markets model. An assumption of "smallness'' type - imposed through the new notion of "closeness to Pareto optimality'' - is shown to be sufficient for existence and uniqueness. Central role in our...
Persistent link: https://www.econbiz.de/10013022029
In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion and elasticity of intertemporal substitution are in excess...
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In this paper we find sufficient conditions for the continuity of the value of the utility maximizationproblem from terminal wealth with respect to the convergence in distribution of the underlying processes. We provide several examples which illustrate that without these conditions, we cannot...
Persistent link: https://www.econbiz.de/10012850986