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Optimal consumption for recursive preferences with local substitution : the case of certainty

Li, Hanwu; Riedel, Frank; Yang, Shuzhen - 2022

We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We …

Persistent link: https://www.econbiz.de/10013445441

Optimal consumption for recursive preferences with local substitution under risk

Li, Hanwu; Riedel, Frank - 2024

We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and...

Persistent link: https://www.econbiz.de/10015066357

Consumption optimization for recursive utility in a jump-diffusion model

Antonelli, Fabio; Mancini, Carlo - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 2, pp. 293-310

Persistent link: https://www.econbiz.de/10011642633

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

Kraft, Holger - 2016

-Jacobi-Bellman equation by a fixed point argument and makes it possible to compute both indirect utility and, more importantly, optimal …

Persistent link: https://www.econbiz.de/10013006546

Bequest motives in consumption-portfolio decisions with recursive utility

Kraft, Holger; Munk, Claus; Weiss, Farina - In: Journal of banking & finance 138 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013461758

Optimal consumption for recursive preferences with local substitution : the case of certainty

Li, Hanwu; Riedel, Frank; Yang, Shuzhen - In: Journal of mathematical economics 110 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10015071604

Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions

Wu, Huiling; Weng, Chengguo; Zeng, Yan - In: OR spectrum : quantitative approaches in management 40 (2018) 2, pp. 541-582

Persistent link: https://www.econbiz.de/10011868232

Recursive preferences, the value of life, and household finance

Bommier, Antoine; Harenberg, Daniel; Le Grand, François; … - 2020

Persistent link: https://www.econbiz.de/10012319445

Gain/loss asymmetric stochastic differential utility

Shigeta, Yuki - In: Journal of economic dynamics & control 118 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012503409

Dynamic portfolio choice and information trading with recursive utility

Chen, Xingjiang; Ruan, Xinfeng; Zhang, WenJun - In: Economic modelling 98 (2021), pp. 154-167

Persistent link: https://www.econbiz.de/10012793889