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An Economic Interpretation and Mathematical Analysis of Epstein–Zin Stochastic Differential Utility in Infinite Horizon When θ<0
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Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1006/jeth.1999.2558openalex-extracted
Optimal Consumption and Portfolio Selection with Stochastic Differential Utility
inferredcites →https://doi.org/10.1007/978-3-319-05714-9openalex-extracted
Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
inferredcites →https://doi.org/10.1007/s00780-012-0184-1openalex-extracted
Consumption-portfolio optimization with recursive utility in incomplete markets
inferredcites →https://doi.org/10.1007/s00780-016-0316-0openalex-extracted
Optimal consumption and investment with Epstein–Zin recursive utility
inferredcites →https://doi.org/10.1007/s00780-022-00496-5openalex-extracted
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for $\vartheta \in (0,1)$
inferredcites →https://doi.org/10.1016/0304-3932(85)90061-3openalex-extracted
The equity premium: A puzzle
inferredcites →https://doi.org/10.1016/j.automatica.2021.109641openalex-extracted
Dynamic programming with value convexity
inferredcites →https://doi.org/10.1016/j.jet.2022.105413openalex-extracted
Existence and uniqueness of recursive utilities without boundedness
inferredcites →https://doi.org/10.1016/j.jfineco.2012.08.009openalex-extracted
Growth to value: Option exercise and the cross section of equity returns
inferredcites →https://doi.org/10.1073/pnas.1200237109openalex-extracted
Recursive utility in a Markov environment with stochastic growth
inferredcites →https://doi.org/10.1090/s0002-9947-05-03781-5openalex-extracted
Estimates of the derivatives for parabolic operators with unbounded coefficients
inferredcites →https://doi.org/10.1093/rfs/hhad069openalex-extracted
Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00670.xopenalex-extracted
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
inferredcites →https://doi.org/10.1111/jofi.12018openalex-extracted
Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
inferredcites →https://doi.org/10.1111/jofi.12877openalex-extracted
Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities
inferredcites →https://doi.org/10.1111/mafi.12168openalex-extracted
Convex duality for Epstein–Zin stochastic differential utility
inferredcites →https://doi.org/10.1111/mafi.12245openalex-extracted
Lifetime investment and consumption with recursive preferences and small transaction costs
inferredcites →https://doi.org/10.1111/mafi.12404openalex-extracted
Epstein‐Zin utility maximization on a random horizon
inferredcites →https://doi.org/10.1257/aer.104.9.2680openalex-extracted
How Much Would You Pay to Resolve Long-Run Risk?
inferredcites →https://doi.org/10.2139/ssrn.1572738openalex-extracted
Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
inferredcites →https://doi.org/10.2139/ssrn.3943709openalex-extracted
Do not Blame Bellman: It Is Koopmans' Fault
inferredcites →https://doi.org/10.2139/ssrn.3984273openalex-extracted
Proper solutions for Epstein–Zin Stochastic Differential Utility
inferredcites →https://doi.org/10.21953/lse.00004282openalex-extracted
Infinite horizon stochastic differential utility of Epstein-Zin type
inferredcites →https://doi.org/10.2307/1913778openalex-extracted
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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