Number of items: 4.
2023
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.
2022
Jerome, Joseph
(2022)
Optimal investment and consumption under infinite horizon EpsteinβZin stochastic differential utility.
PhD thesis, University of Warwick.
2021
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 Sat Apr 20 14:56:26 2024 BST.