Optimal Consumption-Investment and CAPMs under a Quadratic Model based on Homothetic Robust Epstein-Zin Utility

• Material Type: 文書・図像類
• Title: Optimal Consumption-Investment and CAPMs under a Quadratic Model based on Homothetic Robust Epstein-Zin Utility
• Author/Editor: Batbold, Bolorsuvd; 菊池, 健太郎; 楠田, 浩二
• Author Heading: Batbold, Bolorsuvd; 菊池, 健太郎 キクチ, ケンタロウ; 楠田, 浩二 クスダ, コウジ
• Publication, Distribution, etc.: The Institute for Economic and Business Research Faculty of Economics, Shiga University
• Publication Date: 2023-10
• Publication Date (W3CDTF): 2023-10
• Periodical title: Discussion Paper, Series E
• No. or year of volume/issue: No. E-28
• Issue: No. E-28
• Pages: 1-28
• Text Language Code: eng
• Subject Heading: Homothetic robust utility; Consumption-investment problem; CAPM; Stochastic volatility; Stochastic inflation
• Target Audience: 一般
• Note (General): Discussion Paper, Series E, No. E-28, pp. 1-28
• Format (IMT): application/pdf
• Source: DPE28Kusuda.pdf （fulltext）; https://shiga-u.repo.nii.ac.jp/record/2000080/files/DPE28Kusuda.pdf
• Access Restrictions: 限定公開
• Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• Original Data Provider (Database): 滋賀大学 : 滋賀大学学術情報リポジトリ

• Summary, etc.: This paper presents a theoretical analysis of the consumption-investment problem and CAPMs based on homothetic robust Epstein–Zin utility under a quad...