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Efficient and equilibrium allocations with stochastic differential utility

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  • Duffie, Darrell
  • Geoffard, Pierre-Yves
  • Skiadas, Costis

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  • Duffie, Darrell & Geoffard, Pierre-Yves & Skiadas, Costis, 1994. "Efficient and equilibrium allocations with stochastic differential utility," Journal of Mathematical Economics, Elsevier, vol. 23(2), pages 133-146, March.
  • Handle: RePEc:eee:mateco:v:23:y:1994:i:2:p:133-146
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    Cited by:

    1. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
    2. Dumas, Bernard & Uppal, Raman & Wang, Tan, 2000. "Efficient Intertemporal Allocations with Recursive Utility," Journal of Economic Theory, Elsevier, vol. 93(2), pages 240-259, August.
    3. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
    4. Aase, Knut K., 2014. "Recursive utility using the stochastic maximum principle," Discussion Papers 2014/3, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
    5. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Norwegian School of Economics, Department of Business and Management Science.
    6. Mariano Croce & Riccardo Colacito, 2009. "Risk sensitive allocations with multiple goods in international finance. Existence, survivorship, and dynamics," 2009 Meeting Papers 1201, Society for Economic Dynamics.
    7. Aase, Knut K., 2014. "Heterogeneity and limited stock market Participation," Discussion Papers 2014/5, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
    8. Cadenillas, Abel & Cvitanic, Jaksa & Zapatero, Fernando, 2007. "Optimal risk-sharing with effort and project choice," Journal of Economic Theory, Elsevier, vol. 133(1), pages 403-440, March.
    9. Detemple, Jerome B. & Giannikos, Christos I., 1996. "Asset and commodity prices with multi-attribute durable goods," Journal of Economic Dynamics and Control, Elsevier, vol. 20(8), pages 1451-1504, August.
    10. 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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