Skiadas, Costis; Schroder, Mark; Duffie, Darrell - In: Economic Theory 9 (1996) 1, pp. 3-22
In this paper we present a model of the term structure of interest rates with imperfect information and stochastic differential utility, a form of non-additive recursive utility. A principal feature of recursive utility, that distinguishes it from time-separable expected utility, is its...