Efficient consumption set under recursive utility and unknown beliefs
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Mathematical Economics.
Volume (Year): 40 (2004)
Issue (Month): 1-2 (February)
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Web page: http://www.elsevier.com/locate/jmateco
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- Schroder, Mark & Skiadas, Costis, 1999. "Optimal Consumption and Portfolio Selection with Stochastic Differential Utility," Journal of Economic Theory, Elsevier, vol. 89(1), pages 68-126, November.
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2002-10, Brown University, Department of Economics.
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- Duffie, Darrell & Epstein, Larry G, 1992. "Asset Pricing with Stochastic Differential Utility," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 411-36.
- Duffie, Darrell & Skiadas, Costis, 1994. "Continuous-time security pricing : A utility gradient approach," Journal of Mathematical Economics, Elsevier, vol. 23(2), pages 107-131, March.
- Cuoco, Domenico & Zapatero, Fernando, 2000. "On the Recoverability of Preferences and Beliefs," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 417-31.
- Firoozi, Fathali, 2006. "On the martingale property of economic and financial instruments," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 87-96.
- Nobuhiro Nakamura, 2004. "Numerical Approach to Asset Pricing Models with Stochastic Differential Utility," Asia-Pacific Financial Markets, Springer, vol. 11(3), pages 267-300, September.
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