2 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…