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- W4385474094 abstract "This paper considers consumption and portfolio optimization problems with recursive preferences in both infinite and finite time regions. Specially, the financial market consists of a risk-free asset and a risky asset that follows a general stochastic volatility process. By using Bellman's dynamic programming principle, the Hamilton-Jacobi-Bellman (HJB) equation is derived for characterizing the optimal consumption-investment strategy and the corresponding value function. Based on the conjecture of the exponential-polynomial form of the value function, we prove that, when the order of the polynomial $nleq2$, the HJB equation has an analytical solution if the investor with unit elasticity of intertemporal substitution (EIS) and an approximate solution otherwise." @default.
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- W4385474094 date "2023-07-30" @default.
- W4385474094 modified "2023-09-23" @default.
- W4385474094 title "Consumption and portfolio optimization solvable problems with recursive preferences" @default.
- W4385474094 doi "https://doi.org/10.48550/arxiv.2307.16365" @default.
- W4385474094 hasPublicationYear "2023" @default.
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