Epstein-Zin utility maximization on a random horizon
Year of publication: |
2023
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---|---|
Authors: | Aurand, Joshua ; Huang, Yu-Jui |
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. 33.2023, 4, p. 1370-1411
|
Subject: | backward stochastic differential equations | consumption-investment problem | Epstein-Zin utilities | random horizons | Theorie | Theory | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis |
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