Mathematical Finance Seminar
RUD 25, 1.113
Hao Xing

Epstein-Zin utility and its utility maximization

Epstein-Zin utility is widely used in many macro-economics and asset pricing models because it decouples risk aversion and elasticity of intertemporal substitution. In the first part of the talk, we will review results on existence and uniqueness of finite horizon Epstein-Zin utilities. Then we will present new results on infinite horizon Epstein-Zin utilities. In the second part of the talk, we will consider an optimal consumption and investment problem for Epstein-Zin utilities from two approaches: control of BSDEs and convex duality.