The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility....
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations
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Berlin/Heidelberg: Springer Berlin Heidelberg
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English
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Berlin/Heidelberg: Springer Berlin Heidelberg
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The goal of this article is to provide a detailed introduction to infinite-horizon investment–consumption problems for agents with preferences described by Epstein–Zin (EZ) stochastic differential utility (SDU). In the setting of a Black–Scholes–Merton market, we seek to describe all parameter combinations that lead to a well-founded problem in the...
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Full title
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations
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TN_cdi_proquest_journals_2756507518
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2756507518
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ISSN
0949-2984
E-ISSN
1432-1122
DOI
10.1007/s00780-022-00495-6
