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PDE solutions of stochastic differential utility

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Cited by:

  1. Emmanuelle Augeraud-Véron & Giorgio Fabbri & Katheline Schubert, 2019. "The Value of Biodiversity as an Insurance Device," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 101(4), pages 1068-1081.
  2. Lars Peter Hansen & Thomas J Sargent, 2014. "Robust Control and Model Misspecification," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 6, pages 155-216, World Scientific Publishing Co. Pte. Ltd..
  3. Olijslager, Stan & van Wijnbergen, Sweder, 2019. "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," CEPR Discussion Papers 13708, C.E.P.R. Discussion Papers.
  4. Ma, Chenghu, 2000. "An existence theorem of intertemporal recursive utility in the presence of Levy jumps," Journal of Mathematical Economics, Elsevier, vol. 34(4), pages 509-526, December.
  5. Joshua Aurand & Yu-Jui Huang, 2020. "Mortality and Healthcare: a Stochastic Control Analysis under Epstein-Zin Preferences," Papers 2003.01783, arXiv.org, revised Jul 2021.
  6. 'Alvaro Cartea & Sebastian Jaimungal & Leandro S'anchez-Betancourt, 2019. "Latency and Liquidity Risk," Papers 1908.03281, arXiv.org.
  7. Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
  8. Xu, Shaofeng, 2017. "Volatility risk and economic welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 17-33.
  9. Andrew Ang & Dimitris Papanikolaou & Mark M. Westerfield, 2014. "Portfolio Choice with Illiquid Assets," Management Science, INFORMS, vol. 60(11), pages 2737-2761, November.
  10. Riedel, Frank, 2005. "Generic determinacy of equilibria with local substitution," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 603-616, August.
  11. Turnovsky, Stephen J. & Smith, William T., 2006. "Equilibrium consumption and precautionary savings in a stochastically growing economy," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 243-278, February.
  12. Hu, Mingshang & Ji, Shaolin, 2017. "Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 127(1), pages 107-134.
  13. Stan W.J. Olijslagers & Rick van der Ploeg & Sweder van Wijnbergen, 2021. "On Current and Future Carbon Prices in a Risky World," CESifo Working Paper Series 9092, CESifo.
  14. Suzuki, Masataka, 2018. "Continuous-time smooth ambiguity preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 30-44.
  15. Augeraud-Véron, Emmanuelle & Fabbri, Giorgio & Schubert, Katheline, 2021. "Prevention and mitigation of epidemics: Biodiversity conservation and confinement policies," Journal of Mathematical Economics, Elsevier, vol. 93(C).
  16. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
  17. Campbell, John Y. & Sigalov, Roman, 2022. "Portfolio choice with sustainable spending: A model of reaching for yield," Journal of Financial Economics, Elsevier, vol. 143(1), pages 188-206.
  18. van den Bremer, Ton & van der Ploeg, Frederick & Wills, Samuel, 2016. "The Elephant In The Ground: Managing Oil And Sovereign Wealth," European Economic Review, Elsevier, vol. 82(C), pages 113-131.
  19. Jarrow, Robert & Larsson, Martin, 2018. "On aggregation and representative agent equilibria," Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 119-127.
  20. Ai, Hengjie & Han, Leyla Jianyu & Pan, Xuhui Nick & Xu, Lai, 2022. "The cross section of the monetary policy announcement premium," Journal of Financial Economics, Elsevier, vol. 143(1), pages 247-276.
  21. Campbell, John Y. & Chacko, George & Rodriguez, Jorge & Viceira, Luis M., 2004. "Strategic asset allocation in a continuous-time VAR model," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2195-2214, October.
  22. Campani, Carlos Heitor & Garcia, René, 2019. "Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 364-384.
  23. Wang, Gaowang, 2014. "Model Uncertainty, the Spirit of Capitalism and Asset Pricing," MPRA Paper 62421, University Library of Munich, Germany, revised 03 Mar 2015.
  24. Antoon Pelsser & Mitja Stadje, 2014. "Time-Consistent And Market-Consistent Evaluations," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 25-65, January.
  25. Kozak, Serhiy & Santosh, Shrihari, 2020. "Why do discount rates vary?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 740-751.
  26. 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.
  27. Frederick Ploeg, 2021. "Carbon pricing under uncertainty," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 28(5), pages 1122-1142, October.
  28. Shi, Huihong & Mu, Congming & Yang, Jinqiang & Huang, Wenli, 2021. "A Sino-US comparative analysis of the hi-tech entrepreneurial model," Economic Modelling, Elsevier, vol. 94(C), pages 953-966.
  29. Jesus Fernandez-Villaverde & Samuel Hurtado & Galo Nuno, 2019. "Financial Frictions and the Wealth Distribution," PIER Working Paper Archive 19-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  30. Djehiche, Boualem & Löfdahl, Björn, 2016. "Nonlinear reserving in life insurance: Aggregation and mean-field approximation," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 1-13.
  31. Epstein, Larry G. & Ji, Shaolin, 2014. "Ambiguous volatility, possibility and utility in continuous time," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 269-282.
  32. Lorenzo Reus & Frank J. Fabozzi, 2021. "Robust Solutions to the Life-Cycle Consumption Problem," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 481-499, February.
  33. Cuoco, Domenico & Cvitanic, Jaksa, 1998. "Optimal consumption choices for a 'large' investor," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 401-436, March.
  34. Schneider, Paul, 2015. "Generalized risk premia," Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
  35. Pengfei Luo & Yong Ma, 2021. "Robustly dynamic tax evasion and consumption with preferences for cash," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 1078-1088, September.
  36. Ruan, Xinfeng & Zhang, Jin E., 2021. "Ambiguity on uncertainty and the equity premium," Finance Research Letters, Elsevier, vol. 38(C).
  37. Dietmar P.J. Leisen & Eckhard Platen, 2017. "Investing for the Long Run," Research Paper Series 381, Quantitative Finance Research Centre, University of Technology, Sydney.
  38. Hubar, Sylwia & Koulovatianos, Christos & Li, Jian, 2020. "The role of labor-income risk in household risk-taking," European Economic Review, Elsevier, vol. 129(C).
  39. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
  40. 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.
  41. Stephen G. Dimmock & Neng Wang & Jinqiang Yang, 2019. "The Endowment Model and Modern Portfolio Theory," NBER Working Papers 25559, National Bureau of Economic Research, Inc.
  42. Garcia, Rene & Renault, Eric & Semenov, Andrei, 2006. "Disentangling risk aversion and intertemporal substitution through a reference level," Finance Research Letters, Elsevier, vol. 3(3), pages 181-193, September.
  43. Augeraud-Véron, Emmanuelle & Fabbri, Giorgio & Schubert, Katheline, 2021. "Volatility-reducing biodiversity conservation under strategic interactions," Ecological Economics, Elsevier, vol. 190(C).
  44. 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.
  45. Yong, Jiongmin, 2006. "Backward stochastic Volterra integral equations and some related problems," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 779-795, May.
  46. Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".
  47. Olivier Menoukeu-Pamen & Romuald Hervé Momeya, 2017. "A maximum principle for Markov regime-switching forward–backward stochastic differential games and applications," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(3), pages 349-388, June.
  48. Bernt {O}ksendal & Agn`es Sulem, 2015. "Optimal control of predictive mean-field equations and applications to finance," Papers 1505.04921, arXiv.org.
  49. Smith, William T., 1996. "Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time," Economics Letters, Elsevier, vol. 53(2), pages 123-131, November.
  50. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Other publications TiSEM 0841e78f-a73b-42c1-b7d4-0, Tilburg University, School of Economics and Management.
  51. Julien Hugonnier & Florian Pelgrin, 2013. "Health and (Other) Asset Holdings," Review of Economic Studies, Oxford University Press, vol. 80(2), pages 663-710.
  52. Samuel Drapeau & Asgar Jamneshan, 2014. "Conditional Preference Orders and their Numerical Representations," Papers 1410.5466, arXiv.org, revised Jan 2016.
  53. Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does It Work?," Management Science, INFORMS, vol. 54(11), pages 1935-1950, November.
  54. Wu, Hui & Ma, Chaoqun & Yue, Shengjie, 2017. "Momentum in strategic asset allocation," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 115-127.
  55. Jérôme Detemple, 2014. "Portfolio Selection: A Review," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 1-21, April.
  56. Zhao, Hui & Wang, Suxin, 2022. "Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility," European Journal of Operational Research, Elsevier, vol. 301(3), pages 1166-1180.
  57. 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.
  58. Chen, William & Phelan, Gregory, 2021. "International coordination of macroprudential policies with capital flows and financial asymmetries," Journal of Financial Stability, Elsevier, vol. 56(C).
  59. Arnold, Marc & Wagner, Alexander F. & Westermann, Ramona, 2013. "Growth options, macroeconomic conditions, and the cross section of credit risk," Journal of Financial Economics, Elsevier, vol. 107(2), pages 350-385.
  60. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2021. "The impact of hedging on risk-averse agents’ output decisions," Economic Modelling, Elsevier, vol. 104(C).
  61. 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.
  62. Hao Xing, 2017. "Consumption–investment optimization with Epstein–Zin utility in incomplete markets," Finance and Stochastics, Springer, vol. 21(1), pages 227-262, January.
  63. Ai, Hengjie & Kiku, Dana, 2013. "Growth to value: Option exercise and the cross section of equity returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 325-349.
  64. Miyoshi, Yoshiyuki & Toda, Alexis Akira, 2017. "Growth effects of annuities and government transfers in perpetual youth models," Journal of Mathematical Economics, Elsevier, vol. 72(C), pages 1-6.
  65. Martin Dumav, 2021. "Moral Hazard, Dynamic Incentives, and Ambiguous Perceptions," Papers 2110.15229, arXiv.org.
  66. Roger J. A. Laeven & John G. M. Schoenmakers & Nikolaus F. F. Schweizer & Mitja Stadje, 2020. "Robust Multiple Stopping -- A Pathwise Duality Approach," Papers 2006.01802, arXiv.org, revised Sep 2021.
  67. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
  68. Hansen, Lars Peter & Sargent, Thomas J., 2011. "Robustness and ambiguity in continuous time," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1195-1223, May.
  69. 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.
  70. Wang, Chong & Wang, Neng & Yang, Jinqiang, 2016. "Optimal consumption and savings with stochastic income and recursive utility," Journal of Economic Theory, Elsevier, vol. 165(C), pages 292-331.
  71. Castañeda, Pablo & Reus, Lorenzo, 2019. "Suboptimal investment behavior and welfare costs: A simulation based approach," Finance Research Letters, Elsevier, vol. 30(C), pages 170-180.
  72. Moreira, Alan & Muir, Tyler, 2019. "Should Long-Term Investors Time Volatility?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 507-527.
  73. Matoussi, Anis, 1997. "Reflected solutions of backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 347-354, June.
  74. Johnson Kakeu, 2016. "Exhaustibility and Risk as Asset Class Dimensions: A Social Investor Approach to Capital-Resource Economies," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 65(4), pages 677-695, December.
  75. Dejian Tian & Weidong Tian, 2016. "Comparative statics under κ-ambiguity for log-Brownian asset prices," International Journal of Economic Theory, The International Society for Economic Theory, vol. 12(4), pages 361-378, December.
  76. Chen, Xingjiang & Ruan, Xinfeng & Zhang, Wenjun, 2021. "Dynamic portfolio choice and information trading with recursive utility," Economic Modelling, Elsevier, vol. 98(C), pages 154-167.
  77. Johan Burgaard & Mogens Steffensen, 2020. "Eliciting Risk Preferences and Elasticity of Substitution," Decision Analysis, INFORMS, vol. 17(4), pages 314-329, December.
  78. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
  79. Jensen, N.R. & Steffensen, M., 2015. "Personal finance and life insurance under separation of risk aversion and elasticity of substitution," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 28-41.
  80. Zixin Feng & Dejian Tian, 2021. "Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints," Papers 2111.09032, arXiv.org, revised Oct 2022.
  81. Bueno, Rodrigo De Losso da Silveira, 2006. "Dynamic Hedging with Stochastic Differential Utility," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(2), November.
  82. 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.
  83. Shigeta, Yuki, 2020. "Gain/loss asymmetric stochastic differential utility," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
  84. Wang, Tianxiao & Yong, Jiongmin, 2019. "Backward stochastic Volterra integral equations—Representation of adapted solutions," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 4926-4964.
  85. Olivier Menoukeu Pamen, 2015. "Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach," Journal of Optimization Theory and Applications, Springer, vol. 167(3), pages 998-1031, December.
  86. Nicolae B. Gârleanu & Stavros Panageas, 2020. "Heterogeneity and Asset Prices: A Different Approach," NBER Working Papers 26607, National Bureau of Economic Research, Inc.
  87. Max Gillman & Michal Kejak & Michal Pakoš, 2015. "Learning about Rare Disasters: Implications For Consumption and Asset Prices," Review of Finance, European Finance Association, vol. 19(3), pages 1053-1104.
  88. Breugem, Matthijs & Marfè, Roberto, 2020. "Long-run versus short-run news and the term structure of equity," Finance Research Letters, Elsevier, vol. 36(C).
  89. Zhang, Huanjun & Yan, Zhiguo, 2020. "Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control," Applied Mathematics and Computation, Elsevier, vol. 369(C).
  90. Frydman, Carola & Papanikolaou, Dimitris, 2018. "In search of ideas: Technological innovation and executive pay inequality," Journal of Financial Economics, Elsevier, vol. 130(1), pages 1-24.
  91. Kraft, Holger & Weiss, Farina, 2019. "Consumption-portfolio choice with preferences for cash," Journal of Economic Dynamics and Control, Elsevier, vol. 98(C), pages 40-59.
  92. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Winners and Losers: Creative Destruction and the Stock Market," NBER Working Papers 18671, National Bureau of Economic Research, Inc.
  93. Roberto Marfè, 2016. "Corporate Fraction and the Equilibrium Term Structure of Equity Risk," Review of Finance, European Finance Association, vol. 20(2), pages 855-905.
  94. Hu, Ying & Yong, Jiongmin, 2000. "Forward-backward stochastic differential equations with nonsmooth coefficients," Stochastic Processes and their Applications, Elsevier, vol. 87(1), pages 93-106, May.
  95. Knut K. Aase, 2016. "Recursive utility using the stochastic maximum principle," Quantitative Economics, Econometric Society, vol. 7(3), pages 859-887, November.
  96. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
  97. Lanier, Joshua & Miao, Bin & Quah, John & Zhong, Songfa, 2018. "Intertemporal Consumption with Risk: A Revealed Preference Analysis," MPRA Paper 101407, University Library of Munich, Germany.
  98. Johannes Muhle-Karbe & Max Reppen & H. Mete Soner, 2016. "A Primer on Portfolio Choice with Small Transaction Costs," Papers 1612.01302, arXiv.org, revised May 2017.
  99. Sigrid Källblad & Jan Obłój & Thaleia Zariphopoulou, 2018. "Dynamically consistent investment under model uncertainty: the robust forward criteria," Finance and Stochastics, Springer, vol. 22(4), pages 879-918, October.
  100. Yaroslav Melnyk & Johannes Muhle‐Karbe & Frank Thomas Seifried, 2020. "Lifetime investment and consumption with recursive preferences and small transaction costs," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1135-1167, July.
  101. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
  102. Hamadène, Said & Zhang, Jianfeng, 2010. "Switching problem and related system of reflected backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 403-426, April.
  103. Carole Bernard & Shaolin Ji & Weidong Tian, 2013. "An optimal insurance design problem under Knightian uncertainty," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(2), pages 99-124, November.
  104. Kraft, Holger & Seifried, Frank Thomas, 2014. "Stochastic differential utility as the continuous-time limit of recursive utility," Journal of Economic Theory, Elsevier, vol. 151(C), pages 528-550.
  105. Andrés Schneider, 2022. "Risk‐Sharing and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 77(4), pages 2331-2374, August.
  106. Bjørn Eraker & Ivan Shaliastovich, 2008. "An Equilibrium Guide To Designing Affine Pricing Models," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 519-543, October.
  107. Roche, Hervé, 2011. "Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 80-96, January.
  108. Epstein, Larry G. & Miao, Jianjun, 2003. "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1253-1288, May.
  109. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Norwegian School of Economics, Department of Business and Management Science.
  110. Paul Glasserman & Xingbo Xu, 2013. "Robust Portfolio Control with Stochastic Factor Dynamics," Operations Research, INFORMS, vol. 61(4), pages 874-893, August.
  111. Adam, Klaus, 2004. "On the relation between robust and Bayesian decision making," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2105-2117, September.
  112. Kenc, Turalay & Dibooglu, Sel, 2007. "The spirit of capitalism, asset pricing and growth in a small open economy," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1378-1402, December.
  113. Knut K. Aase & Petter Bjerksund, 2021. "The Optimal Spending Rate versus the Expected Real Return of a Sovereign Wealth Fund," JRFM, MDPI, vol. 14(9), pages 1-35, September.
  114. Thomas Douenne, 2020. "Disaster Risks, Disaster Strikes, and Economic Growth: the Role of Preferences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 251-272, October.
  115. Volker Krätschmer & Marcel Ladkau & Roger J. A. Laeven & John G. M. Schoenmakers & Mitja Stadje, 2018. "Optimal Stopping Under Uncertainty in Drift and Jump Intensity," Mathematics of Operations Research, INFORMS, vol. 43(4), pages 1177-1209, November.
  116. Tomás Caravello & Turalay Kenc & Martín Sola, 2021. "Risk Aversion and Changes in Regime," Department of Economics Working Papers 2021_08, Universidad Torcuato Di Tella.
  117. Ma, Chenghu, 2006. "Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Levy jumps," Journal of Mathematical Economics, Elsevier, vol. 42(2), pages 131-160, April.
  118. Rosazza Gianin, Emanuela, 2006. "Risk measures via g-expectations," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 19-34, August.
  119. Aït-Sahalia, Yacine & Matthys, Felix, 2019. "Robust consumption and portfolio policies when asset prices can jump," Journal of Economic Theory, Elsevier, vol. 179(C), pages 1-56.
  120. Olivier Menoukeu Pamen, 2017. "Maximum Principles of Markov Regime-Switching Forward–Backward Stochastic Differential Equations with Jumps and Partial Information," Journal of Optimization Theory and Applications, Springer, vol. 175(2), pages 373-410, November.
  121. Peng, Shige & Shi, Yufeng, 2000. "Infinite horizon forward-backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 85(1), pages 75-92, January.
  122. Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).
  123. Jiatu Cai & Xinfu Chen & Min Dai, 2018. "Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching," Management Science, INFORMS, vol. 64(5), pages 2308-2324, May.
  124. Huang, Jianhui & Wang, Guangchen & Wu, Zhen, 2010. "Optimal premium policy of an insurance firm: Full and partial information," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 208-215, October.
  125. Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.
  126. Bellini, Fabio & Laeven, Roger J.A. & Rosazza Gianin, Emanuela, 2021. "Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures," European Journal of Operational Research, Elsevier, vol. 291(2), pages 438-446.
  127. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2018. "A Model of Monetary Policy and Risk Premia," Journal of Finance, American Finance Association, vol. 73(1), pages 317-373, February.
  128. Smith, William T., 1999. "Risk, the Spirit of Capitalism and Growth: The Implications of a Preference for Capital," Journal of Macroeconomics, Elsevier, vol. 21(2), pages 241-262, April.
  129. 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.
  130. Yueyang Zheng & Jingtao Shi, 2020. "A Stackelberg Game of Backward Stochastic Differential Equations with Applications," Dynamic Games and Applications, Springer, vol. 10(4), pages 968-992, December.
  131. Patrick Beissner & Qian Lin & Frank Riedel, 2020. "Dynamically consistent alpha‐maxmin expected utility," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1073-1102, July.
  132. Detemple, Jerome B. & Karatzas, Ioannis, 2003. "Non-addictive habits: optimal consumption-portfolio policies," Journal of Economic Theory, Elsevier, vol. 113(2), pages 265-285, December.
  133. Joshua Aurand & Yu-Jui Huang, 2019. "Epstein-Zin Utility Maximization on a Random Horizon," Papers 1903.08782, arXiv.org, revised Jul 2021.
  134. Huiwen Yan & Gechun Liang & Zhou Yang, 2015. "Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints," Papers 1503.08969, arXiv.org.
  135. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
  136. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
  137. Xu, Shaofeng, 2016. "Interpreting volatility shocks as preference shocks," Economics Letters, Elsevier, vol. 149(C), pages 135-140.
  138. Casassus, Jaime & Collin-Dufresne, Pierre & Routledge, Bryan R., 2018. "Equilibrium commodity prices with irreversible investment and non-linear technologies," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 128-147.
  139. Drapeau, Samuel & Jamneshan, Asgar, 2016. "Conditional preference orders and their numerical representations," Journal of Mathematical Economics, Elsevier, vol. 63(C), pages 106-118.
  140. Gârleanu, Nicolae & Panageas, Stavros, 2021. "What to expect when everyone is expecting: Self-fulfilling expectations and asset-pricing puzzles," Journal of Financial Economics, Elsevier, vol. 140(1), pages 54-73.
  141. Riedel, Frank, 2010. "Optimal Stopping under Ambiguity in Continuous Time," Center for Mathematical Economics Working Papers 429, Center for Mathematical Economics, Bielefeld University.
  142. Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2002. "An approximation algorithm for optimal consumption/investment problems," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 11(2), pages 55-69, April.
  143. Polynice Oyono Ngou & Cody Hyndman, 2014. "A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations," Papers 1410.8595, arXiv.org, revised May 2022.
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