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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Vydané v:	Finance and stochastics Ročník 21; číslo 1; s. 187 - 226
Hlavní autori:	Kraft, Holger, Seiferling, Thomas, Seifried, Frank Thomas
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Berlin/Heidelberg Springer Berlin Heidelberg 01.01.2017 Springer Nature B.V
Predmet:	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
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