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Efficient consumption set under recursive utility and unknown beliefs

  • Lazrak, Ali
  • Zapatero, Fernando
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    File URL: http://www.sciencedirect.com/science/article/B6VBY-4997W1H-1/2/b4ec29748f8680933f2bf2748d7c04b1
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    Article provided by Elsevier in its journal Journal of Mathematical Economics.

    Volume (Year): 40 (2004)
    Issue (Month): 1-2 (February)
    Pages: 207-226

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    Handle: RePEc:eee:mateco:v:40:y:2004:i:1-2:p:207-226
    Contact details of provider: Web page: http://www.elsevier.com/locate/jmateco

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    1. 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.
    2. Bick, Avi, 1990. " On Viable Diffusion Price Processes of the Market Portfolio," Journal of Finance, American Finance Association, vol. 45(2), pages 673-89, June.
    3. 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.
    4. Zengjing Chen & Larry Epstein, 2002. "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, vol. 70(4), pages 1403-1443, July.
    5. Chiappori, P. -A. & Ekeland, I. & Kubler, F. & Polemarchakis, H. M., 2004. "Testable implications of general equilibrium theory: a differentiable approach," Journal of Mathematical Economics, Elsevier, vol. 40(1-2), pages 105-119, February.
    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. Duffie, Darrel & Lions, Pierre-Louis, 1992. "PDE solutions of stochastic differential utility," Journal of Mathematical Economics, Elsevier, vol. 21(6), pages 577-606.
    8. Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-94, March.
    9. He, Hua & Leland, Hayne, 1993. "On Equilibrium Asset Price Processes," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 593-617.
    10. 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.
    11. 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.
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