Derives closed-form robust optimal reinsurance, investment, and consumption policies for Epstein-Zin insurers under stochastic market drift and verifies they solve the control problem for both unit and non-unit EIS.
(2004) Robust portfolio rules and asset pricing.Review of Financial Studies, 17(4): 951-983
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.OC 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Robust Optimal Reinsurance, Investment,and Surplus Allocation for Epstein-Zin Preferences
Derives closed-form robust optimal reinsurance, investment, and consumption policies for Epstein-Zin insurers under stochastic market drift and verifies they solve the control problem for both unit and non-unit EIS.