Number of items: 4.
Journal Article
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.
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.
Thesis
Jerome, Joseph
(2022)
Optimal investment and consumption under infinite horizon EpsteinβZin stochastic differential utility.
PhD thesis, University of Warwick.
This list was generated on Thu May 2 03:12:43 2024 BST.