6 citations · 24 across the 15 of their papers we have counts for
3 papers · 1 filter
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…
Second-order monotonicity conditions and mean field games with volatility control
Chenchen Mou, Jianfeng Zhang, Jianjun Zhou
In this manuscript we study the well-posedness of the master equations for mean field games with volatility control. This infinite dimensional PDE is nonlinear with respect to both…
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…