Worst-Case Premiums and Identification of Homothetic Robust Epstein-Zin Utility under a Quadratic Model

• Material Type: 文書・図像類
• Title: Worst-Case Premiums and Identification of Homothetic Robust Epstein-Zin Utility under a Quadratic Model
• 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: 2024-11
• Publication Date (W3CDTF): 2024-11
• Periodical title: Discussion Paper, Series E
• No. or year of volume/issue: E-38
• Issue: E-38
• Pages: 1-29
• Text Language Code: eng
• Subject Heading: Homothetic robust utility; Stochastic differential utility; Consumption-investment problem; Stochastic volatility; Stochastic inflation
• Target Audience: 一般
• Format (IMT): application/pdf
• Source: DPE38.pdf （fulltext）; https://shiga-u.repo.nii.ac.jp/record/2000450/files/DPE38.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 study assumes homothetic robust Epstein-Zin (HREZ) utility and analyzes the consumption–investment problem under a quadratic security market mode...