rate and risk premiums using recursive utility in a continuous time model. Two ordinally equivalent versions are considered … maximum principle. The resulting equilibriums are consistent with low values of the parameters of the utility functions when …

rate and risk premiums using recursive utility in a continuous time model. We consider the version of recursive utility … market portfolio is determined in terms of future utility and aggregate consumption in equilibrium. The equilibrium real … utility function when calibrated to market data, under various assumptions. …

We derive the equilibrium interest rate and risk premiums using recursive utility with heterogeneity in a continuous …

For the conventional model with additive and separable expected utility, risk aversion and intertemporal elasticity of … recursive utility in the life cycle model, where we use the stochastic maximum principle to find the optimal solutions. This is …

We derive the equilibrium interest rate and risk premiums using recursive utility for jump-diffusions. Compared to to … aversion related to the continuous part. We also consider a version that allows marginal utility to depend on past consumption …

We derive the equilibrium interest rate and risk premiums using recursive utility for jump-diffusions. Compared to to … circumstances. We consider the version of recursive utility which gives the most unambiguous separation of risk preference from time … processes for future utility and aggregate consumption. It is indicated that this model has the potential to give reasonable …

rate and risk premiums using recursive utility in continuous time. In a representative-agent framework our model allows for …