Optimal investment and consumption under Epstein-Zin stochastic differential utility
Lead Research Organisation:
University of Warwick
Department Name: Statistics
Abstract
This project will aim to investigate how an investor with a stochastic differential utility function should optimally invest and consume from their wealth over the infinite horizon. I will start by investigating the early papers by Merton, where the utility function is time-additive, and then move on to consider the problem under more realistic preferences modelled by Epstein-Zin stochastic differential utility.
Organisations
People |
ORCID iD |
| David Hobson (Primary Supervisor) | |
| John Jerome (Student) |
Studentship Projects
| Project Reference | Relationship | Related To | Start | End | Student Name |
|---|---|---|---|---|---|
| EP/N509796/1 | 01/10/2016 | 30/09/2021 | |||
| 1940062 | Studentship | EP/N509796/1 | 02/10/2017 | 31/03/2021 | John Jerome |