Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon
JEL classification
G11
C02
Keywords
Intertemporal hedging
Finite horizon
Stochastic differential utility
Exact analytical solution
Approximate analytical solution
We would like to thank Valentin Haddad, Felix Matthys, and Raman Uppal, for their useful comments and discussions, seminar participants at Princeton University and Edhec Business School, and conference participants at the XVI Brazilian Finance Meeting. Special thanks to Abraham Lioui who acted as co-advisor of Carlos Heitor Campani thesis together with René Garcia and had an important input in the making of this paper. The first author thanks Brasilprev and Escola Nacional de Seguros (in Brazil) for the financial support. The second author is a research Fellow of CIRANO and CIREQ. An online appendix provides detailed derivations and extensions athttp://ssrn.com/abstract=2664173.
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