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Asset pricing with a forward-backward stochastic differential utility

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  • Antonelli, Fabio
  • Barucci, Emilio
  • Mancino, Maria Elvira

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File URL: http://www.sciencedirect.com/science/article/B6V84-4379GRM-4/2/6a9ab3ffb0247890dc69ea5d9b00baa0
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 72 (2001)
Issue (Month): 2 (August)
Pages: 151-157

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Handle: RePEc:eee:ecolet:v:72:y:2001:i:2:p:151-157

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Lowenstein, George & Prelec, Drazen, 1991. "Negative Time Preference," American Economic Review, American Economic Association, vol. 81(2), pages 347-52, May.
  2. Constantinides, George M, 1990. "Habit Formation: A Resolution of the Equity Premium Puzzle," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 519-43, June.
  3. Jerome B. Detemple & Fernando Zapatero, 1992. "Optimal Consumption-Portfolio Policies With Habit Formation," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 251-274.
  4. Detemple, Jerome B & Zapatero, Fernando, 1991. "Asset Prices in an Exchange Economy with Habit Formation," Econometrica, Econometric Society, vol. 59(6), pages 1633-57, November.
  5. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
  6. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
  7. Loomes, Graham & Sugden, Robert, 1986. "Disappointment and Dynamic Consistency in Choice under Uncertainty," Review of Economic Studies, Wiley Blackwell, vol. 53(2), pages 271-82, April.
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