IDEAS home Printed from https://ideas.repec.org/a/kap/apfinm/v11y2004i3p267-300.html
   My bibliography  Save this article

Numerical Approach to Asset Pricing Models with Stochastic Differential Utility

Author

Listed:
  • Nobuhiro Nakamura

Abstract

No abstract is available for this item.

Suggested Citation

  • Nobuhiro Nakamura, 2004. "Numerical Approach to Asset Pricing Models with Stochastic Differential Utility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(3), pages 267-300, September.
    • Handle: RePEc:kap:apfinm:v:11:y:2004:i:3:p:267-300
    DOI: 10.1007/s10690-005-9003-4
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10690-005-9003-4
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10690-005-9003-4?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Zengjing Chen & Larry Epstein, 2002. "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, vol. 70(4), pages 1403-1443, July.
    2. Nelson, Daniel B & Ramaswamy, Krishna, 1990. "Simple Binomial Processes as Diffusion Approximations in Financial Models," Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 393-430.
    3. Yacine Aït-Sahalia, 2001. "Transition Densities For Interest Rate And Other Nonlinear Diffusions," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 1, pages 1-34, World Scientific Publishing Co. Pte. Ltd..
    4. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
    5. Ali Lazrak & Marie-Claire Quenez, 2003. "A generalized stochastic differential utility," Post-Print hal-00485718, HAL.
    6. 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.
    7. Mas-Colell, Andreu, 1977. "The Recoverability of Consumers' Preferences from Market Demand Behavior," Econometrica, Econometric Society, vol. 45(6), pages 1409-1430, September.
    8. Lazrak, Ali & Zapatero, Fernando, 2004. "Efficient consumption set under recursive utility and unknown beliefs," Journal of Mathematical Economics, Elsevier, vol. 40(1-2), pages 207-226, February.
    9. Ali Lazrak & Marie Claire Quenez, 2003. "A Generalized Stochastic Differential Utility," Mathematics of Operations Research, INFORMS, vol. 28(1), pages 154-180, February.
    10. Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-394, March.
    11. Ali Lazrak & Fernando Zapatero, 2004. "Efficient Consumption Set Under Recursive Utility and Unknown Beliefs," Post-Print hal-00485712, HAL.
    12. Ying Hu & Peter Imkeller & Matthias Muller, 2005. "Utility maximization in incomplete markets," Papers math/0508448, arXiv.org.
    13. Duffie, Darrell & Epstein, Larry G, 1992. "Asset Pricing with Stochastic Differential Utility," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 411-436.
    14. Richard Rouge & Nicole El Karoui, 2000. "Pricing Via Utility Maximization and Entropy," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 259-276, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Akira Kashiwabara & Nobuhiro Nakamura, 2011. "Dynamic Investment Strategies to Reaction–Diffusion Systems Based upon Stochastic Differential Utilities," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 131-150, May.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lazrak, Ali & Zapatero, Fernando, 2004. "Efficient consumption set under recursive utility and unknown beliefs," Journal of Mathematical Economics, Elsevier, vol. 40(1-2), pages 207-226, February.
    2. Roger J. A. Laeven & Mitja Stadje, 2014. "Robust Portfolio Choice and Indifference Valuation," Mathematics of Operations Research, INFORMS, vol. 39(4), pages 1109-1141, November.
    3. Ali Lazrak, 2005. "Generalized stochastic differential utility and preference for information," Papers math/0503579, arXiv.org.
    4. Schroder, Mark & Skiadas, Costis, 2005. "Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income," Stochastic Processes and their Applications, Elsevier, vol. 115(1), pages 1-30, January.
    5. Antoon Pelsser & Mitja Stadje, 2014. "Time-Consistent And Market-Consistent Evaluations," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 25-65, January.
    6. Dejian Tian, 2022. "Pricing principle via Tsallis relative entropy in incomplete market," Papers 2201.05316, arXiv.org, revised Oct 2022.
    7. Schroder, Mark & Skiadas, Costis, 2003. "Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 155-202, December.
    8. Patrick Beissner & Qian Lin & Frank Riedel, 2020. "Dynamically consistent alpha‐maxmin expected utility," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1073-1102, July.
    9. Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2023. "Dynamic Return and Star-Shaped Risk Measures via BSDEs," Papers 2307.03447, arXiv.org, revised Jul 2023.
    10. Zixin Feng & Dejian Tian, 2021. "Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints," Papers 2111.09032, arXiv.org, revised May 2023.
    11. Huiwen Yan & Gechun Liang & Zhou Yang, 2015. "Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints," Papers 1503.08969, arXiv.org.
    12. Kyoung Jin Choi & Hyeng Keun Koo & Do Young Kwak, 2004. "Optimal Stopping of Active Portfolio Management," Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 93-126, May.
    13. Shigeta, Yuki, 2020. "Gain/loss asymmetric stochastic differential utility," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
    14. Fabio Antonelli & Carlo Mancini, 2016. "Consumption optimization for recursive utility in a jump-diffusion model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(2), pages 293-310, November.
    15. Wang, Tianxiao & Yong, Jiongmin, 2015. "Comparison theorems for some backward stochastic Volterra integral equations," Stochastic Processes and their Applications, Elsevier, vol. 125(5), pages 1756-1798.
    16. Fahrenwaldt, Matthias Albrecht & Jensen, Ninna Reitzel & Steffensen, Mogens, 2020. "Nonrecursive separation of risk and time preferences," Journal of Mathematical Economics, Elsevier, vol. 90(C), pages 95-108.
    17. Dirk Becherer & Wilfried Kuissi-Kamdem & Olivier Menoukeu-Pamen, 2023. "Optimal consumption with labor income and borrowing constraints for recursive preferences," Working Papers hal-04017143, HAL.
    18. Joshua Aurand & Yu-Jui Huang, 2019. "Epstein-Zin Utility Maximization on a Random Horizon," Papers 1903.08782, arXiv.org, revised May 2023.
    19. Augeraud-Véron, Emmanuelle & Fabbri, Giorgio & Schubert, Katheline, 2021. "Volatility-reducing biodiversity conservation under strategic interactions," Ecological Economics, Elsevier, vol. 190(C).
    20. Jianjun Miao, 2009. "Ambiguity, Risk and Portfolio Choice under Incomplete Information," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 257-279, November.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:apfinm:v:11:y:2004:i:3:p:267-300. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.