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Efficient and equilibrium allocations with stochastic differential utility

Duffie, Darrell - In: Journal of mathematical economics 23 (1994) 2, pp. 133-146

Persistent link: https://www.econbiz.de/10001161877

Continuous-time security pricing : a utility gradient approach

Duffie, Darrell - In: Journal of mathematical economics 23 (1994) 2, pp. 107-131

Persistent link: https://www.econbiz.de/10001161894

A term structure model with preferences for the timing of resolution of uncertainty

Duffie, Darrell - In: Economic theory : official journal of the Society for … 9 (1997) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10001335757

Continuous-time security pricing : A utility gradient approach

Duffie, Darrell; Skiadas, Costis - In: Journal of Mathematical Economics 23 (1994) 2, pp. 107-131

Persistent link: https://www.econbiz.de/10005388088

A term structure model with preferences for the timing of resolution of uncertainty (*)

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...

Persistent link: https://www.econbiz.de/10005753409