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Optimal consumption and investment with Epstein–Zin recursive utility

Citations

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Cited by:

  1. Joshua Aurand & Yu-Jui Huang, 2020. "Mortality and Healthcare: a Stochastic Control Analysis under Epstein-Zin Preferences," Papers 2003.01783, arXiv.org, revised Jul 2021.
  2. Joshua Aurand & Yu-Jui Huang, 2019. "Epstein-Zin Utility Maximization on a Random Horizon," Papers 1903.08782, arXiv.org, revised May 2023.
  3. Campani, Carlos Heitor & Garcia, René, 2019. "Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 364-384.
  4. Jakub Trybuła & Dariusz Zawisza, 2019. "Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case," Mathematics of Operations Research, INFORMS, vol. 44(3), pages 966-987, August.
  5. Dariusz Zawisza, 2020. "On the parabolic equation for portfolio problems," Papers 2003.13317, arXiv.org, revised Oct 2020.
  6. Martin Herdegen & David Hobson & Joseph Jerome, 2023. "The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for ϑ ∈ ( 0 , 1 ) $\vartheta \in (0,1)$," Finance and Stochastics, Springer, vol. 27(1), pages 159-188, January.
  7. Kasper Larsen & Oleksii Mostovyi & Gordan Žitković, 2018. "An expansion in the model space in the context of utility maximization," Finance and Stochastics, Springer, vol. 22(2), pages 297-326, April.
  8. David Hobson & Martin Herdegen & Joseph Jerome, 2021. "The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility," Papers 2107.06593, arXiv.org.
  9. Michael Monoyios & Oleksii Mostovyi, 2022. "Stability of the Epstein-Zin problem," Papers 2208.09895, arXiv.org, revised Apr 2023.
  10. Li, Hanwu & Riedel, Frank & Yang, Shuzhen, 2022. "Optimal Consumption for Recursive Preferences with Local Substitution - the Case of Certainty," Center for Mathematical Economics Working Papers 670, Center for Mathematical Economics, Bielefeld University.
  11. Shigeta, Yuki, 2020. "Gain/loss asymmetric stochastic differential utility," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
  12. Shigeta, Yuki, 2022. "Quasi-hyperbolic discounting under recursive utility and consumption–investment decisions," Journal of Economic Theory, Elsevier, vol. 204(C).
  13. Zhao, Hui & Wang, Suxin, 2022. "Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility," European Journal of Operational Research, Elsevier, vol. 301(3), pages 1166-1180.
  14. Masayuki Ando & Masaaki Fukasawa, 2023. "When to efficiently rebalance a portfolio," Papers 2308.08745, arXiv.org.
  15. Dirk Becherer & Wilfried Kuissi-Kamdem & Olivier Menoukeu-Pamen, 2023. "Optimal consumption with labor income and borrowing constraints for recursive preferences," Working Papers hal-04017143, HAL.
  16. Wei, Pengyu & Yang, Charles & Zhuang, Yi, 2023. "Robust consumption and portfolio choice with derivatives trading," European Journal of Operational Research, Elsevier, vol. 304(2), pages 832-850.
  17. Chen, Xingjiang & Ruan, Xinfeng & Zhang, Wenjun, 2021. "Dynamic portfolio choice and information trading with recursive utility," Economic Modelling, Elsevier, vol. 98(C), pages 154-167.
  18. Dianetti, Jodi & Riedel, Frank & Stanza, Lorenzo, 2024. "Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility," Center for Mathematical Economics Working Papers 685, Center for Mathematical Economics, Bielefeld University.
  19. Zixin Feng & Dejian Tian, 2021. "Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints," Papers 2111.09032, arXiv.org, revised May 2023.
  20. Immacolata Oliva & Ilaria Stefani, 2023. "Co-jumps and recursive preferences in portfolio choices," Annals of Finance, Springer, vol. 19(3), pages 291-324, September.
  21. Kraft, Holger & Weiss, Farina, 2023. "Pandemic portfolio choice," European Journal of Operational Research, Elsevier, vol. 305(1), pages 451-462.
  22. Oliva, I. & Renò, R., 2018. "Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 242-256.
  23. Martin Herdegen & David Hobson & Alex S. L. Tse, 2024. "Portfolio Optimization under Transaction Costs with Recursive Preferences," Papers 2402.08387, arXiv.org.
  24. Kraft, Holger & Weiss, Farina, 2019. "Consumption-portfolio choice with preferences for cash," Journal of Economic Dynamics and Control, Elsevier, vol. 98(C), pages 40-59.
  25. Sahar Albosaily & Serguei Pergamenchtchikov, 2021. "Optimal Investment and Consumption for Multidimensional Spread Financial Markets with Logarithmic Utility," Stats, MDPI, vol. 4(4), pages 1-15, November.
  26. Yaroslav Melnyk & Johannes Muhle‐Karbe & Frank Thomas Seifried, 2020. "Lifetime investment and consumption with recursive preferences and small transaction costs," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1135-1167, July.
  27. Martin Herdegen & David Hobson & Joseph Jerome, 2021. "Proper solutions for Epstein-Zin Stochastic Differential Utility," Papers 2112.06708, arXiv.org.
  28. Marcelo Lewin & Carlos Heitor Campani, 2023. "Constrained portfolio strategies in a regime-switching economy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 27-59, March.
  29. Sahar Albosaily & Serguei Pergamenshchikov, 2018. "Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with logarithmic utility," Papers 1809.08139, arXiv.org.
  30. Luo, Shangzhen & Wang, Mingming & Zhu, Wei, 2022. "Time-inconsistent life-cycle consumption and retirement choice with mortality risk," Applied Mathematics and Computation, Elsevier, vol. 433(C).
  31. Matoussi, Anis & Xing, Hao, 2018. "Convex duality for Epstein-Zin stochastic differential utility," LSE Research Online Documents on Economics 82519, London School of Economics and Political Science, LSE Library.
  32. Aït-Sahalia, Yacine & Matthys, Felix, 2019. "Robust consumption and portfolio policies when asset prices can jump," Journal of Economic Theory, Elsevier, vol. 179(C), pages 1-56.
  33. Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).
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