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q-fin.MF2021
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…
q-fin.MF2021
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…