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Risk-taking and capital market equilibrium

Nielsen, Lars Tyge - 1985

Persistent link: https://www.econbiz.de/10000884964

Asset pricing with stochastic differential utility

Duffie, Darrell; Epstein, Larry G. - 1991

Persistent link: https://www.econbiz.de/10000827226

Asset pricing with stochastic differential utility

Duffie, Darrell - In: The review of financial studies 5 (1992) 3, pp. 411-436

Persistent link: https://www.econbiz.de/10001129385

Intertemporal preferences for uncertain consumption : a continuous time approach

Hindy, Ayman - In: Econometrica : journal of the Econometric Society, an … 60 (1992) 4, pp. 781-801

Persistent link: https://www.econbiz.de/10001129066

Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility

Kraft, Holger - 2013

We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus … (1978), converges to stochastic di erential utility, as introduced by Du e and Epstein (1992), in the continuous-time limit …

Persistent link: https://www.econbiz.de/10013092753

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

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

The local recoverability of risk aversion and intertemporal substitution

Wang, Susheng - In: Journal of economic theory 59 (1993) 2, pp. 333-363

Persistent link: https://www.econbiz.de/10001144252

Disentangling the coefficient of relative risk aversion from the elasticity of intertemporal substitution : an irrelevance result

Kocherlakota, Narayana Rao - In: The journal of finance : the journal of the American … 45 (1990) 1, pp. 175-190

Persistent link: https://www.econbiz.de/10001084199

A revealed preference analysis of asset pricing under recursive utility

Epstein, Larry G. - In: The review of economic studies 62 (1995) 4, pp. 597-618

Persistent link: https://www.econbiz.de/10001189787

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