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Portfolio choice with endogenous utility: a large deviations approach

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Author Info
Stutzer, Michael
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 116 (2003)
Issue (Month): 1-2 ()
Pages: 365-386
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Handle: RePEc:eee:econom:v:116:y:2003:i:1-2:p:365-386

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  1. Huyen Pham, 2007. "Some applications and methods of large deviations in finance and insurance," Quantitative Finance Papers math/0702473, arXiv.org, revised Feb 2007. [Downloadable!]
  2. Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2006. "Optimal Decentralized Investment Management," NBER Working Papers 12144, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Alexis Bonnet & Isabelle Nagot, 2005. "Methodology of measuring performance in alternative investment," Cahiers de la Maison des Sciences Economiques b05078, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
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