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The relation between utility and the price of equity
Epstein, Larry G. - 1988
Persistent link: https://www.econbiz.de/10000124833
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Risk aversion and the intertemporal behavior of asset prices
Stapleton, Richard C. - In: The review of financial studies 3 (1990) 4, pp. 677-693
Persistent link: https://www.econbiz.de/10001105885
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Asset pricing implications of a non-expected recursive utility function : a review
Cho, Jaeho - In: International review of financial analysis 3 (1994) 1, pp. 19-35
Persistent link: https://www.econbiz.de/10001174392
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Does round-the-clock trading result in Pareto improvements?
Spiegel, Matthew; Subrahmanyam, Avanidhar - 1993
Persistent link: https://www.econbiz.de/10000859597
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A model for a large investor trading at market indifference prices : I: single-period case
Bank, Peter; Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 2, pp. 449-472
Persistent link: https://www.econbiz.de/10011418186
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Malliavin's calculus in insider models : additional utility and free lunches
Imkeller, Peter - 2002
Persistent link: https://www.econbiz.de/10001666561
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Malliavin's calculus in insider models : additional utility and free lunches
Imkeller, Peter - 2002
we focus on are the calculation of the additional utility of the insider and a study of his free lunch possibilities. The … examples are given to illustrate additional utility and free lunch possibilities. In particular, if the insider has advance …
Persistent link: https://www.econbiz.de/10009620768
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Ambiguous volatility and asset pricing in continuous time
Epstein, Larry G.; Ji, Shaolin - In: The review of financial studies 26 (2013) 7, pp. 1740-1786
Persistent link: https://www.econbiz.de/10009778359
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Malliavin's calculus in insider models : additional utility and free lunches
Imkeller, Peter - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 153-169
Persistent link: https://www.econbiz.de/10001765669
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Are German stock and bond returns consistent with equilibrium asset pricing? : a calibration exercise using recursive non-expected utility
Meyer, Bernd - 1996
Carlo simulations. Preferences are modeled by time-additive expected utility and, alternatively, by recursive non …-expected utility. The empirical results for the period 1960 to 1994 confirm those for the U.S. and favour the use of recursive non …-expected utility which clearly distinguishes between risk preference and time preference. The leverage approach yields the first moment …
Persistent link: https://www.econbiz.de/10009681108