Optimal consumption and investment with Epstein–Zin recursive utility

We study continuous-time optimal consumption and investment with Epstein–Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton–Jacobi–Bellman equation by a fixed point argument and makes it possible to compute...

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Bibliographic Details
Published in:	Finance and stochastics Vol. 21; no. 1; pp. 187 - 226
Main Authors:	Kraft, Holger, Seiferling, Thomas, Seifried, Frank Thomas
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.01.2017 Springer Nature B.V
Subjects:	Consumption Differential equations Economic Theory/Quantitative Economics/Mathematical Methods Economics Finance Insurance Investments Management Mathematical models Mathematics Mathematics and Statistics Numerical analysis Partial differential equations Probability Theory and Stochastic Processes Quantitative Finance Recursion Statistics for Business Studies Volatility D52 Fixed point approach FBSDE C68 G11 G12 Stochastic differential utility 93E20 91G10 Consumption-portfolio choice Incomplete markets 91B25 D91 Asset pricing C61
ISSN:	0949-2984, 1432-1122
Online Access:	Get full text
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