英文标题：
《Consumption investment optimization with Epstein-Zin utility in
incomplete markets》
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作者：
Hao Xing
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最新提交年份：
2015
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英文摘要：
In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion and elasticity of intertemporal substitution are in excess of one, we characterize optimal consumption and investment strategies via backward stochastic differential equations. The supperdifferential of indirect utility is also obtained, meeting demands from applications in which Epstein-Zin utilities were used to resolve several asset pricing puzzles. The empirically relevant utility specification introduces difficulties to the optimization problem due to the fact that the Epstein-Zin aggregator is neither Lipschitz nor jointly concave in all its variables.
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中文摘要：
在一个具有随机投资机会的市场中，我们研究了具有Epstein-Zin型递归效用的agent的最优消费投资问题。针对风险规避和跨期替代弹性均大于1的经验相关规范，我们通过倒向随机微分方程描述了最优消费和投资策略。此外，还得到了间接效用的支持微分，满足了使用Epstein Zin效用解决多个资产定价难题的应用需求。由于Epstein-Zin聚合器在其所有变量中既不是Lipschitz，也不是联合凹的，因此经验相关的效用规范给优化问题带来了困难。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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