Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/203276 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
SAFE Working Paper No. 52
Versionsangabe: 
This version: May 31, 2016
Verlag: 
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, Frankfurt a. M.
Zusammenfassung: 
We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jacobi-Bellman equation by a fixed point argument and makes it possible to compute both indirect utility and, more importantly, optimal strategies. Based on these results, we also establish a fast and accurate method for numerical computations. Our setting is not restricted to affine asset price dynamics; we only require boundedness of the underlying model coefficients.
Schlagwörter: 
consumption-portfolio choice
asset pricing
stochastic di erential utility
incomplete markets
fixed point approach
FBSDE
JEL: 
G11
G12
D52
D91
C61
C68
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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