Lifetime investment and consumption with recursive preferences and small transaction costs
Author:
Affiliation:
1. SFI, EPFLQuartier UNIL‐DorignyLausanne Switzerland
2. Department of MathematicsImperial College LondonLondon UK
3. Department of MathematicsUniversity of TrierTrier Germany
Funder
Deutscher Akademischer Austauschdienst
European Research Council
Deutsche Forschungsgemeinschaft
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12245
Reference33 articles.
1. Some solvable stochastic control problemst†
2. Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
3. Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
4. Buss A. Uppal R. &Vilkov G.(2013).Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs. INSEAD Working Paper No. 2014/01/FIN.
5. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
Cited by 11 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Optimal Recursive Utility Maximization with Debt-to-Income Limits;2024
2. Epstein‐Zin utility maximization on a random horizon;Mathematical Finance;2023-06
3. Optimal asset allocation under search frictions and stochastic interest rate;Quantitative Finance;2023-04-19
4. Optimal consumption and portfolio selection with Epstein–Zin utility under general constraints;Probability, Uncertainty and Quantitative Risk;2023
5. Optimal Recursive Utility Maximization with Debt-to-Income Limits;SSRN Electronic Journal;2023
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3