Number of items: 4.
Herdegen, Martin, Hobson, David G. and Jerome, Joseph
(2023)
The infinite horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : Foundations.
Finance and Stochastics, 27
.
pp. 127-158.
doi:10.1007/s00780-022-00495-6
ISSN 0949-2984.
Herdegen, Martin, Hobson, David G. and Jerome, Joseph
(2023)
The infinite horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II : Existence, uniqueness and verification for Οβ(0,1).
Finance and Stochastics, 27
.
pp. 159-188.
doi:10.1007/s00780-022-00496-5
ISSN 0949-2984.
Jerome, Joseph
(2022)
Optimal investment and consumption under infinite horizon EpsteinβZin stochastic differential utility.
PhD thesis, University of Warwick.
Herdegen, Martin, Hobson, David G. and Jerome, Joseph
(2021)
An elementary approach to the Merton problem.
Mathematical Finance, 31
(4).
pp. 1218-1239.
doi:10.1111/mafi.12311
ISSN 0960-1627.
This list was generated on Thu Apr 25 05:27:04 2024 BST.