On the public citation graph

Epstein‐Zin utility maximization on a random horizon

https://doi.org/10.1111/mafi.12404
0 signed · 76 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1006/jeth.1999.2558openalex-snapshot
Optimal Consumption and Portfolio Selection with Stochastic Differential Utility
inferredcites →https://doi.org/10.1007/978-1-4612-0949-2openalex-snapshot
Brownian Motion and Stochastic Calculus
inferredcites →https://doi.org/10.1007/978-1-4615-3034-3openalex-snapshot
Nonlinear Parabolic and Elliptic Equations
inferredcites →https://doi.org/10.1007/978-3-540-89500-8openalex-snapshot
Continuous-time Stochastic Control and Optimization with Financial Applications
inferredcites →https://doi.org/10.1007/978-3-642-61798-0openalex-snapshot
Elliptic Partial Differential Equations of Second Order
inferredcites →https://doi.org/10.1007/978-94-011-4560-2_9openalex-snapshot
BSDEs, weak convergence and homogenization of semilinear PDEs
inferredcites →https://doi.org/10.1007/bf00375351openalex-snapshot
Uniqueness and the maximum principle for quasilinear elliptic equations with quadratic growth conditions
inferredcites →https://doi.org/10.1007/pl00000040openalex-snapshot
A solution approach to valuation with unhedgeable risks
inferredcites →https://doi.org/10.1007/s00186-005-0026-4openalex-snapshot
Portfolio problems stopping at first hitting time with application to default risk
inferredcites →https://doi.org/10.1007/s001990050222openalex-snapshot
Recursive utility and preferences for information
inferredcites →https://doi.org/10.1007/s00245-002-0735-5openalex-snapshot
Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints
inferredcites →https://doi.org/10.1007/s00245-013-9213-5openalex-snapshot
Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump
inferredcites →https://doi.org/10.1007/s00245-014-9287-8openalex-snapshot
Robust Consumption-Investment Problem on Infinite Horizon
inferredcites →https://doi.org/10.1007/s00440-006-0497-0openalex-snapshot
BSDE with quadratic growth and unbounded terminal value
inferredcites →https://doi.org/10.1007/s00440-007-0093-yopenalex-snapshot
Quadratic BSDEs with convex generators and unbounded terminal conditions
inferredcites →https://doi.org/10.1007/s00780-004-0125-8openalex-snapshot
Wealth-path dependent utility maximization in incomplete markets
inferredcites →https://doi.org/10.1007/s00780-008-0079-3openalex-snapshot
Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
inferredcites →https://doi.org/10.1007/s00780-012-0184-1openalex-snapshot
Consumption-portfolio optimization with recursive utility in incomplete markets
inferredcites →https://doi.org/10.1007/s00780-016-0297-zopenalex-snapshot
Consumption–investment optimization with Epstein–Zin utility in incomplete markets
inferredcites →https://doi.org/10.1007/s00780-016-0316-0openalex-snapshot
Optimal consumption and investment with Epstein–Zin recursive utility
inferredcites →https://doi.org/10.1007/s00780-019-00383-6openalex-snapshot
Consumption, investment and healthcare with aging
inferredcites →https://doi.org/10.1016/0304-4068(92)90028-6openalex-snapshot
PDE solutions of stochastic differential utility
inferredcites →https://doi.org/10.1016/j.jfineco.2011.01.008openalex-snapshot
Explaining asset pricing puzzles associated with the 1987 market crash
inferredcites →https://doi.org/10.1016/j.jmateco.2007.09.004openalex-snapshot
Optimal investment decisions when time-horizon is uncertain
inferredcites →https://doi.org/10.1016/j.spa.2010.02.003openalex-snapshot
What happens after a default: The conditional density approach
inferredcites →https://doi.org/10.1016/s0304-405x(00)00046-5openalex-snapshot
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
inferredcites →https://doi.org/10.1016/s0304-405x(01)00088-5openalex-snapshot
The jump-risk premia implicit in options: evidence from an integrated time-series study
inferredcites →https://doi.org/10.1016/s0304-405x(98)00027-0openalex-snapshot
A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler,…
inferredcites →https://doi.org/10.1016/s0304-4149(03)00089-9openalex-snapshot
Lp solutions of backward stochastic differential equations
inferredcites →https://doi.org/10.1016/s0378-4371(02)01903-9openalex-snapshot
Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
inferredcites →https://doi.org/10.1016/s1573-4412(07)06061-8openalex-snapshot
Chapter 61 Intertemporal Substitution and Risk Aversion
inferredcites →https://doi.org/10.1080/10451120410001696270openalex-snapshot
BSDE s with a random terminal time driven by a monotone generator and their links with PDE s
inferredcites →https://doi.org/10.1086/261703openalex-snapshot
Noise Trader Risk in Financial Markets
inferredcites →https://doi.org/10.1086/294743openalex-snapshot
The Behavior of Stock-Market Prices
inferredcites →https://doi.org/10.1088/1469-7688/2/6/303openalex-snapshot
Probability distribution of returns in the Heston model with stochastic volatility*
inferredcites →https://doi.org/10.1093/rfs/hhp082openalex-snapshot
The Levered Equity Risk Premium and Credit Spreads: A Unified Framework
inferredcites →https://doi.org/10.1103/physreve.78.056104openalex-snapshot
Escape problem under stochastic volatility: The Heston model
inferredcites →https://doi.org/10.1103/physreve.80.016108openalex-snapshot
First-passage and risk evaluation under stochastic volatility
inferredcites →https://doi.org/10.1111/j.1540-6261.1976.tb01891.xopenalex-snapshot
VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03807.xopenalex-snapshot
The Limits of Arbitrage
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00670.xopenalex-snapshot
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
inferredcites →https://doi.org/10.1111/mafi.12168openalex-snapshot
Convex duality for Epstein–Zin stochastic differential utility
inferredcites →https://doi.org/10.1111/mafi.12245openalex-snapshot
Lifetime investment and consumption with recursive preferences and small transaction costs
inferredcites →https://doi.org/10.1137/100790884openalex-snapshot
Optimal Investment with High-watermark Performance Fee
inferredcites →https://doi.org/10.1137/20m1331111openalex-snapshot
Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences
inferredcites →https://doi.org/10.1137/s0363012998346323openalex-snapshot
Utility Maximization with Discretionary Stopping
inferredcites →https://doi.org/10.1142/s0219024903002213openalex-snapshot
OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
inferredcites →https://doi.org/10.1142/s0219024915500454openalex-snapshot
UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH
inferredcites →https://doi.org/10.1142/s0219493711003280openalex-snapshot
OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS
inferredcites →https://doi.org/10.1155/s1048953300000216openalex-snapshot
BSDEs with polynomial growth generators
inferredcites →https://doi.org/10.1214/105051605000000188openalex-snapshot
Utility maximization in incomplete markets
inferredcites →https://doi.org/10.1214/aop/1019160253openalex-snapshot
Backward stochastic differential equations and partial differential equations with quadratic growth
inferredcites →https://doi.org/10.1214/aop/1024404508openalex-snapshot
Backwards SDE with random terminal time and applications to semilinear elliptic PDE
inferredcites →https://doi.org/10.1214/ejp.v13-514openalex-snapshot
Quadratic BSDEs with Random Terminal Time and Elliptic PDEs in Infinite Dimension
inferredcites →https://doi.org/10.1257/000282803321947399openalex-snapshot
Stock-Market Participation, Intertemporal Substitution, and Risk-Aversion
inferredcites →https://doi.org/10.2139/ssrn.2625800openalex-snapshot
Epstein-Zin Stochastic Differential Utility: Existence, Uniqueness, Concavity, and Utility Gradients
inferredcites →https://doi.org/10.2307/1913656openalex-snapshot
Temporal Resolution of Uncertainty and Dynamic Choice Theory
inferredcites →https://doi.org/10.2307/1913778openalex-snapshot
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
inferredcites →https://doi.org/10.2307/1926560openalex-snapshot
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
inferredcites →https://doi.org/10.2307/2296058openalex-snapshot
Uncertain Lifetime, Life Insurance, and the Theory of the Consumer
inferredcites →https://doi.org/10.2307/2951600openalex-snapshot
Stochastic Differential Utility
inferredcites →https://doi.org/10.3386/w13196openalex-snapshot
Long-Run Risks and Financial Markets

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4701952openalex-extracted
An Economic Interpretation and Mathematical Analysis of Epstein–Zin Stochastic Differential Utility in Infinite Horizon When θ<0
inferred← citeshttps://doi.org/10.1007/s00780-026-00594-8openalex-snapshot
An economic interpretation and mathematical analysis of Epstein–Zin stochastic differential utility for an infinite horizon when $\theta <0$
inferred← citeshttps://doi.org/10.1016/j.cnsns.2025.108675openalex-snapshot
Consumption and portfolio optimization solvable problems with recursive preferences
inferred← citeshttps://doi.org/10.1016/j.ejor.2020.07.028openalex-snapshot
Indifference pricing of insurance-linked securities in a multi-period model
inferred← citeshttps://doi.org/10.1016/j.spa.2025.104805openalex-snapshot
Consumption–investment optimization with Epstein–Zin utility in unbounded non-Markovian markets
inferred← citeshttps://doi.org/10.1109/control60310.2024.10531992openalex-snapshot
Optimal Investment in a Market with Borrowing, Unbounded Random Coefficients, and a Random Time-Horizon
inferred← citeshttps://doi.org/10.1111/mafi.12434openalex-snapshot
Stability of the Epstein–Zin problem
inferred← citeshttps://doi.org/10.1137/20m1331111openalex-snapshot
Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences
inferred← citeshttps://doi.org/10.2139/ssrn.6740838openalex-snapshot
Optimal Investment with Switching Preferences
inferred← citeshttps://doi.org/10.2139/ssrn.6864461openalex-snapshot
Infinite Horizon Optimal Consumption: Intertemporal Hedging under Epstein-Zin Preferences
inferred← citeshttps://doi.org/10.3390/risks14060140openalex-snapshot
Optimal Consumption and Investment Choice with Bounded Memory and Recursive Preferences in a Multi-Asset Setting
inferred← citeshttps://doi.org/10.3934/puqr.2023012openalex-snapshot
Optimal consumption and portfolio selection with Epstein–Zin utility under general constraints
inferred← citeshttps://doi.org/10.48550/arxiv.1909.12730openalex-snapshot
Collectivised Post-Retirement Investment
inferred← citeshttps://doi.org/10.48550/arxiv.2004.01506openalex-snapshot
Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.