The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations
系统介绍了Epstein-Zin随机微分效用下无限期投资-消费问题的数学基础，分析了参数组合使问题有经济意义的条件，强调相对风险厌恶系数与跨期互补弹性系数需同侧于1。
Abstract The goal of this article is to provide a detailed introduction to infinite-horizon investment–consumption problems for agents with preferences described by Epstein–Zin (EZ) stochastic differential utility (SDU). In the setting of a Black–Scholes–Merton market, we seek to describe all parameter combinations that lead to a well-founded problem in the sense that the problem is not just mathematically well posed, but the solution is also economically meaningful. The key idea is to consider a novel and slightly different description of EZ SDU under which the aggregator has only one sign. This new formulation clearly highlights the necessity for the coefficients of relative risk aversion and of elasticity of intertemporal complementarity (the reciprocal of the coefficient of intertemporal substitution) to lie on the same side of unity.