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Foundations of Continuous-time Recrusive Utility: Differentiability and Normalization of Certainty Equivalents


  • Holger Kraft


  • Frank Seifried


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Suggested Citation

  • Holger Kraft & Frank Seifried, 2010. "Foundations of Continuous-time Recrusive Utility: Differentiability and Normalization of Certainty Equivalents," Working Paper Series: Finance and Accounting 196, Department of Finance, Goethe University Frankfurt am Main.
  • Handle: RePEc:fra:franaf:196

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    References listed on IDEAS

    1. Gunter Franke & Jan Pieter Krahnen, 2007. "Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Chapters,in: The Risks of Financial Institutions, pages 603-634 National Bureau of Economic Research, Inc.
    2. Peter M. DeMarzo, 2005. "The Pooling and Tranching of Securities: A Model of Informed Intermediation," Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 1-35.
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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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