Convex duality for Epstein-Zin stochastic differential utility

Anis Matoussi and Hao Xing

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper introduces a dual problem to study a continuous-time consumption and investment problem with incomplete markets and Epstein-Zin stochastic differential utilities. Duality between the primal and dual problems is established. Consequently, the optimal strategy of this consumption and investment problem is identified without assuming several technical conditions on market models, utility specifications, and agent’s admissible strategies. Meanwhile, the minimizer of the dual problem is identified as the utility gradient of the primal value and is economically interpreted as the “least favorable" completion of the market

JEL-codes: F3 G3 (search for similar items in EconPapers)
Date: 2018-10-01
New Economics Papers: this item is included in nep-ore and nep-upt
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Citations: View citations in EconPapers (11)

Published in Mathematical Finance, 1, October, 2018, 28(4), pp. 991-1019. ISSN: 0960-1627

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