2 citations · 3 across the 4 of their papers we have counts for
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Proper solutions for Epstein-Zin Stochastic Differential Utility
Martin Herdegen, David Hobson, Joseph Jerome
In this article, we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein--Zin stochastic differential utility (EZ-SDU) who invests…
The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility
David Hobson, Martin Herdegen, Joseph Jerome
In this article we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein-Zin stochastic differential utility who invests in a consta…
An elementary approach to the Merton problem
Martin Herdegen, David Hobson, Joseph Jerome
In this article we consider the infinite-horizon Merton investment-consumption problem in a constant-parameter Black - Scholes - Merton market for an agent with constant relative r…