Cover Image

Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Tian, Dejian, Tian, Weidong, Zhou, Jianjun, Zhu, Zimu
Format:	Preprint
Published:	2025
Subjects:	Portfolio Management 49L20, 60H20, 91G10, 91G80, 93E20
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Optimal Comfortable Consumption under Epstein-Zin utility
by: Tian, Dejian, et al.
Published: (2025)

Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results
by: Gabih, Abdelali, et al.
Published: (2023)

Risk-Sensitive Investment Management via Free Energy-Entropy Duality
by: Lleo, Sebastien, et al.
Published: (2026)

Optimal Investment and Consumption in a Stochastic Factor Model
by: Gutekunst, Florian, et al.
Published: (2025)

Portfolio Optimization under Transaction Costs with Recursive Preferences
by: Herdegen, Martin, et al.
Published: (2024)

Power Utility Maximization with Expert Opinions at Fixed Arrival Times in a Market with Hidden Gaussian Drift
by: Gabih, Abdelali, et al.
Published: (2023)

Exploratory Randomization for Discrete-Time Risk-Sensitive Benchmarked Investment Management with Reinforcement Learning
by: Lleo, Sebastien, et al.
Published: (2026)

Optimal two-parameter portfolio management strategy with transaction costs
by: Ma, Chutian, et al.
Published: (2024)

Exploratory Mean-Variance with Jumps: An Equilibrium Approach
by: Chen, Yuling Max, et al.
Published: (2025)

Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning
by: Chen, An, et al.
Published: (2023)

Optimal Portfolio Choice with Cross-Impact Propagators
by: Jaber, Eduardo Abi, et al.
Published: (2024)

Optimal annuitization with labor income under age-dependent force of mortality
by: Birungi, Criscent, et al.
Published: (2025)

Exploratory Randomization for Discrete-Time Linear Exponential Quadratic Gaussian (LEQG) Problem
by: Lleo, Sebastien, et al.
Published: (2025)

Entropy Regularization under Bayesian Drift Uncertainty
by: Au, Andy
Published: (2026)

Multi-period Mean-Buffered Probability of Exceedance in Defined Contribution Portfolio Optimization
by: Dang, Duy-Minh, et al.
Published: (2025)

Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information
by: Colaneri, Katia, et al.
Published: (2025)

Optimal consumption under loss-averse multiplicative habit-formation preferences
by: Angoshtari, Bahman, et al.
Published: (2024)

Avellaneda-Stoikov and Cartea-Jaimungal as One Framework: A Forced Uniqueness Theorem for Inventory Market Making
by: Feys, Frank M. V.
Published: (2026)

A dynamic competitive equilibrium model of irreversible capacity investment with stochastic demand and heterogeneous producers
by: Kardaras, Constantinos, et al.
Published: (2025)

Default Contagion, Matrix Approximation, and Control in Sparse Financial Networks
by: Zhang, Aoxin, et al.
Published: (2026)

Asset-liability management with Epstein-Zin utility under stochastic interest rate and unknown market price of risk
by: Kuissi-Kamdem, Wilfried
Published: (2025)

Dynamically optimal portfolios for monotone mean--variance preferences
by: Černý, Aleš, et al.
Published: (2025)

Equilibrium Strategies for the N-agent Mean-Variance Investment Problem over a Random Horizon
by: Liang, Xiaoqing, et al.
Published: (2025)

Constrained monotone mean--variance investment-reinsurance under the Cramér--Lundberg model with random coefficients
by: Shi, Xiaomin, et al.
Published: (2024)

Myopic Optimality: why reinforcement learning portfolio management strategies lose money
by: Ma, Yuming
Published: (2025)

De Finetti's Poissonian Dividend Control Problem under Spectrally Positive Markov Additive Process
by: Bo, Lijun, et al.
Published: (2023)

Nonlocal Stochastic Optimal Control for Diffusion Processes: Existence, Maximum Principle and Financial Applications
by: Anita, Stefana-Lucia, et al.
Published: (2025)

Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
by: Garces, Len Patrick Dominic M., et al.
Published: (2024)

Periodic portfolio selection with quasi-hyperbolic discounting
by: Hamaguchi, Yushi, et al.
Published: (2024)

Epstein-Zin Utility Maximization on a Random Horizon
by: Aurand, Joshua, et al.
Published: (2019)

Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift
by: Gabih, Abdelali, et al.
Published: (2022)

Mean Field Equilibrium Asset Pricing Models With Exponential Utility
by: Sekine, Masashi
Published: (2026)

Pathwise analysis of log-optimal portfolios
by: Allan, Andrew L., et al.
Published: (2025)

Money-Back Tontines for Retirement Decumulation: Neural-Network Optimization under Systematic Longevity Risk
by: Orozco, German Nova, et al.
Published: (2026)

A unifying view on the irreversible investment exercise boundary in a stochastic, time-inhomogeneous capacity expansion problem
by: Chiarolla, Maria B.
Published: (2022)

Optimal dividend payout with path-dependent drawdown constraint
by: Guan, Chonghu, et al.
Published: (2023)

Goal-based portfolio selection with fixed transaction costs
by: Bayraktar, Erhan, et al.
Published: (2025)

RAmmStein: Regime Adaptation in Mean-reverting Markets with Stein Thresholds -- Optimal Impulse Control in Concentrated AMMs
by: Anchuri, Pranay
Published: (2026)

Black-Scholes-Merton Option Pricing Revisited: Did we Find a Fatal Flaw?
by: Mink, Mark, et al.
Published: (2022)

Callable convertible bonds under liquidity constraints and hybrid priorities
by: Hobson, David, et al.
Published: (2021)