Stability of the Epstein-Zin problem
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, where our parametrization of perturbations allows for joint distortions in returns and volatility of the risky assets and t...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Wiley
2024
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