Search Results - subject:"récursive utility"

Long-run productivity risk : a new hope for production-based asset pricing?

Croce, Mariano M. - In: Journal of monetary economics 66 (2014), pp. 13-31

Persistent link: https://www.econbiz.de/10010482383

Stock price dynamics of China : what do the asset markets tell us about the Chinese utility function?

Kwan, Yum-keung; Dong, Jinyue - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 77-108

Persistent link: https://www.econbiz.de/10010465138

Stochastic differential utility as the continuous-time limit of recursive utility

Kraft, Holger; Seifried, Frank Thomas - In: Journal of economic theory 151 (2014), pp. 528-550

Persistent link: https://www.econbiz.de/10010389572

Ambiguous volatility, possibility and utility in continuous time

Epstein, Larry G.; Ji, Shaolin - In: Journal of Mathematical Economics 50 (2014) C, pp. 269-282

This paper formulates a model of utility for a continuous time framework that captures the decision-maker’s concern with ambiguity about both the drift and volatility of the driving process. At a technical level, the analysis requires a significant departure from existing continuous time...

Persistent link: https://www.econbiz.de/10010875293

Long-run productivity risk: A new hope for production-based asset pricing?

Massimiliano Croce, Mariano - In: Journal of Monetary Economics 66 (2014) C, pp. 13-31

The examination of the intertemporal distribution of US productivity risk suggests that the conditional mean of productivity growth is an important determinant of macro quantities and asset prices. After establishing this empirical link, I rationalize it in a production economy featuring...

Persistent link: https://www.econbiz.de/10010906417

A 4-Stated DICE: Quantitatively Addressing Uncertainty Effects in Climate Change

Traeger, Christian - In: Environmental & Resource Economics 59 (2014) 1, pp. 1-37

We introduce a version of the DICE-2007 model designed for uncertainty analysis. DICE is a wide-spread deterministic integrated assessment model of climate change. Climate change, long-term economic development, and their interactions are highly uncertain. The quantitative analysis of optimal...

Persistent link: https://www.econbiz.de/10010959135

Stock Price Dynamics of China: What Do the Asset Markets Tell Us About the Chinese Utility Function?

Kwan, Yum K.; Dong, Jinyue - In: Emerging Markets Finance and Trade 50 (2014) 03, pp. 77-108

yields no significant benefit in predicting stock returns, but adding housing to recursive utility models does improve …. Overall, the H-recursive utility model has the best prediction performance. Directions for future research are discussed. …

Persistent link: https://www.econbiz.de/10011094397

What Drives Corporate Bond Market Betas?

Abhyankar, Abhay; Gonzalez, Angelica - School of Economics, University of Edinburgh - 2007

We study the cross-section of expected corporate bond returns using an intertemporal CAPM with three factors; innovations in future excess bond returns, future real interest rates and future expected inflation. Our test assets are a broad range of bond market index portfolios of different...

Persistent link: https://www.econbiz.de/10005086758

Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments

Satchell, Stephen; Thorp, Susan - Finance Discipline Group, Business School - 2007

with recursive utility: Dynamic consumption plans for charitable endowments Stephen Satchell and Susan Thorp … ISSN 1441-8010 www.qfrc.uts.edu.au Scenario analysis with recursive utility: dynamic consumption plans …. JEL Classification: G00; D81; D91 Keywords: Recursive utility; Stochastic dominance; Inter-temporal choice …

Persistent link: https://www.econbiz.de/10004984606

Pricing innovations in consumption growth : a re-evaluation of the recursive utility model

Xiao, Yuchao; Faff, Robert W.; Gharghori, Philip; Min, … - In: Journal of banking & finance 37 (2013) 11, pp. 4465-4475

Persistent link: https://www.econbiz.de/10010246994