16 citations · 16 across the 6 of their papers we have counts for
4 papers · 1 filter
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…
Liquidity Provision with Adverse Selection and Inventory Costs
Martin Herdegen, Johannes Muhle-Karbe, Florian Stebegg
We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary inf…
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…
Bubbles in discrete time models
Martin Herdegen, Dörte Kreher
We introduce a new definition of speculative bubbles in discrete-time models based on the discounted stock price losing mass at some finite drop-down under an equivalent martingale…