Auflistung nach Autor "Seiferling, Thomas"
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Optimal Consumption and Investment with Epstein-Zin Recursive Utility
Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas (2016-07-04)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-Jac ...