Recursive utility using the stochastic maximum principle
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- Knut K. Aase, 2016. "Recursive utility using the stochastic maximum principle," Quantitative Economics, Econometric Society, vol. 7(3), pages 859-887, November.
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Cited by:
- Aase, Knut K., 2014. "The Life Cycle Model with Recursive Utility: New insights on optimal consumption," Discussion Papers 2014/19, Norwegian School of Economics, Department of Business and Management Science, revised 16 Oct 2015.
- Aase, Knut K., 2015. "The equity premium in a production economy; A new perspective involving recursive utility," Discussion Papers 2015/15, Norwegian School of Economics, Department of Business and Management Science.
- Aase, Knut K., 2014.
"Recursive utility and jump-diffusions,"
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- Aase, Knut K., 2015. "Recursive utility and jump-diffusions," Discussion Papers 2015/6, Norwegian School of Economics, Department of Business and Management Science.
- 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.
- Goncalo dos Reis & Vadim Platonov, 2020. "Forward utility and market adjustments in relative investment-consumption games of many players," Papers 2012.01235, arXiv.org, revised Mar 2022.
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More about this item
Keywords
The equity premium puzzle; the risk-free rate puzzle; recursive utility; the stochastic maximum principle;All these keywords.
JEL classification:
- D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- D90 - Microeconomics - - Micro-Based Behavioral Economics - - - General
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2014-03-01 (Macroeconomics)
- NEP-ORE-2014-03-01 (Operations Research)
- NEP-UPT-2014-03-01 (Utility Models and Prospect Theory)
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