Consumption-portfolio optimization with recursive utility in incomplete markets
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dietmar Leisen & Eckhard Platen, 2017. "Investing for the Long Run," Papers 1705.03929, arXiv.org.
- Hao Xing, 2017. "Consumption–investment optimization with Epstein–Zin utility in incomplete markets," Finance and Stochastics, Springer, vol. 21(1), pages 227-262, January.
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- Hao Xing, 2015. "Consumption investment optimization with Epstein-Zin utility in incomplete markets," Papers 1501.04747, arXiv.org, revised Nov 2015.
- Holger Kraft & Thomas Seiferling & Frank Thomas Seifried, 2017. "Optimal consumption and investment with Epstein–Zin recursive utility," Finance and Stochastics, Springer, vol. 21(1), pages 187-226, January.
More about this item
KeywordsConsumption-portfolio optimization; Recursive utility; Stochastic control approach; Stochastic volatility; Unspanned state process; Campbell–Shiller approximation; 93E20; 91G10; G11; D91; C61;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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