Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon
Year of publication: |
2019
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Authors: | Campani, Carlos Heitor ; Garcia, René |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 48.2019, p. 364-384
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Subject: | Approximate analytical solution | Exact analytical solution | Finite horizon | Intertemporal hedging | Stochastic differential utility | Theorie | Theory | Stochastischer Prozess | Stochastic process | Hedging | Portfolio-Management | Portfolio selection | Nutzen | Utility |
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