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Herdegen, Martin, Hobson, David and Jerome, Joseph ORCID: 0000-0002-8312-0053
(2021)
Proper solutions for Epstein–Zin Stochastic Differential Utility.
SSRN Electronic Journal.
Herdegen, Martin, Hobson, David and Jerome, Joseph ORCID: 0000-0002-8312-0053
(2021)
An elementary approach to the Merton problem.
MATHEMATICAL FINANCE, 31 (4).
pp. 1218-1239.
Herdegen, Martin, Hobson, David and Jerome, Joseph ORCID: 0000-0002-8312-0053
(2022)
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations.
FINANCE AND STOCHASTICS, 27 (1).
pp. 127-158.