Convex duality for Epstein-Zin stochastic differential utility
Year of publication: |
2018
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Authors: | Matoussi, Anis ; Xing, Hao |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 28.2018, 4, p. 991-1019
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Subject: | backward stochastic differential equation | consumption investment optimization | convex duality | stochastic differential utility | Theorie | Theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Duales Optimierungsproblem | Dual optimization problem |
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