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dc.creatorKraft, Holger
dc.creatorSeiferling, Thomas
dc.creatorSeifried, Frank Thomas
dc.date.accessioned2021-09-28T09:19:52Z
dc.date.available2021-09-28T09:19:52Z
dc.date.issued2016-07-04
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2153
dc.description.abstractWe 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 both indirect utility and, more importantly, optimal strategies. Based on these results, we also establish a fast and accurate method for numerical computations. Our setting is not restricted to affine asset price dynamics; we only require boundedness of the underlying model coefficients.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectFinancial Markets
dc.titleOptimal Consumption and Investment with Epstein-Zin Recursive Utility
dc.typeWorking Paper
dc.source.filename52_SSRN-id2444747
dc.identifier.safeno52
dc.subject.keywordsconsumption-portfolio choice
dc.subject.keywordsasset pricing
dc.subject.keywordsstochastic di erential utility
dc.subject.keywordsincomplete markets
dc.subject.keywordsfixed point approach
dc.subject.keywordsfbsde
dc.subject.jelG11
dc.subject.jelG12
dc.subject.jelD52
dc.subject.jelD91
dc.subject.jelC61
dc.subject.jelC68
dc.subject.topic1generalize
dc.subject.topic1analysis
dc.subject.topic1addition
dc.subject.topic2acknowledge
dc.subject.topic2issue
dc.subject.topic2chacko
dc.subject.topic3forwardBackward
dc.subject.topic3pde
dc.subject.topic3develop
dc.subject.topic1nameSystematic Risk
dc.subject.topic2nameCorporate Governance
dc.subject.topic3nameConsumption
dc.identifier.doi10.2139/ssrn.2444747


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Attribution-ShareAlike 4.0 International
Except where otherwise noted, this item's license is described as Attribution-ShareAlike 4.0 International