3 papers
math.OC2026
Optimal Comfortable Consumption under Epstein-Zin utility
Dejian Tian, Weidong Tian, Jianjun Zhou +1
We solve the optimal portfolio choice problem under Epstein--Zin utility with a time-varying consumption constraint, where closed-form expressions for neither the primal nor the du…
q-fin.PM2025
Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint
Dejian Tian, Weidong Tian, Jianjun Zhou +1
We study optimal portfolio choice under Epstein-Zin recursive utility in the presence of general leverage constraints. We first establish that the optimal value function is the uni…
q-fin.MF2025
Consumption-investment optimization with Epstein-Zin utility in unbounded non-Markovian markets
Zixin Feng, Dejian Tian, Harry Zheng
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. A non-Markovian environment with unbounded parameters is…