# Optimal Consumption and Portfolio Selection with Stochastic Differential Utility

@article{Schroder1999OptimalCA, title={Optimal Consumption and Portfolio Selection with Stochastic Differential Utility}, author={Mark Schroder and Costis Skiadas}, journal={Capital Markets eJournal}, year={1999} }

This paper develops the utility gradient (or martingale) approach for computing portfolio and consumption plans that maximize stochastic differential utility (SDU), a continuous-time version of recursive utility due to Duffie and Epstein (1992a). The setting is that of a general stochastic investment opportunity set with Brownian information (making some of the results novel in the time-additive case, as well). We characterize the first order conditions of optimality as a system of forward…

## 255 Citations

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