activity
20152026
most citedViscosity Solutions to First Order Path-Dependent HJB Equations

6 citations · 24 across the 15 of their papers we have counts for

collaborators
Showing q-fin.PMShow all

1 paper · 1 filter

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…