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Citations for "Portfolio Choice With Non-Expected Utility In Continuous Time"

by Svensson, L.E.O.

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  1. Kihlstrom, Richard, 2009. "Risk aversion and the elasticity of substitution in general dynamic portfolio theory: Consistent planning by forward looking, expected utility maximizing investors," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 634-663, September.
  2. Gaowang Wang & Heng-fu Zou, 2012. "Economic Globalization, Mercantilism and Economic Growth," CEMA Working Papers 548, China Economics and Management Academy, Central University of Finance and Economics.
  3. Nocetti, Diego & Smith, William T., 2011. "Price uncertainty, saving, and welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 35(7), pages 1139-1149, July.
  4. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  5. Anne Epaulard & Aude Pommeret, 2003. "Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(3), pages 672-684, July.
  6. 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.
  7. Katsuyuki Shibayama & Iain Fraser, 2014. "Nonhomothetic Growth Models For The Environmental Kuznets Curve," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55, pages 919-942, 08.
  8. Campbell, John Y, 1993. "Intertemporal Asset Pricing without Consumption Data," American Economic Review, American Economic Association, vol. 83(3), pages 487-512, June.
  9. 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.
  10. Paola Giuliano & Stephen Turnovsky, 2002. "Intertemporal Substitution, Risk Aversion, and Economic Performance in a Stochastically Growing Open Economy," Working Papers UWEC-2002-20-P, University of Washington, Department of Economics.
  11. Egil Matsen, 2001. "Habit Persistence and Welfare Gains from International Asset Trade," Working Paper Series 0102, Department of Economics, Norwegian University of Science and Technology.
  12. Smith, William & Son, Young Seob, 2005. "Can the desire to conserve our natural resources be self-defeating?," Journal of Environmental Economics and Management, Elsevier, vol. 49(1), pages 52-67, January.
  13. Liutang Gong & William Smith & Heng-fu Zou, 2007. "Asset Prices and Hyperbolic Discounting," Annals of Economics and Finance, Society for AEF, vol. 8(2), pages 397-414, November.
  14. Kenc, Turalay, 2004. "Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1511-1539, June.
  15. 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.
  16. Pommeret, Aude & Smith, William T., 2005. "Fertility, volatility, and growth," Economics Letters, Elsevier, vol. 87(3), pages 347-353, June.
  17. Bernard Dumas & Raman Uppal & Tan Wang, 1998. "Efficient Intertemporal Allocations with Recursive Utility," NBER Technical Working Papers 0231, National Bureau of Economic Research, Inc.
  18. Susanne Soretz, 2007. "Efficient Dynamic Pollution Taxation in an Uncertain Environment," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 36(1), pages 57-84, January.
  19. Gianluca Femminis, 2012. "Risk aversion heterogeneity and the investment-uncertainty relationship," DISCE - Quaderni dell'Istituto di Teoria Economica e Metodi Quantitativi itemq1260, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  20. Pierre‐André Chiappori & Monica Paiella, 2011. "Relative Risk Aversion Is Constant: Evidence From Panel Data," Journal of the European Economic Association, European Economic Association, vol. 9(6), pages 1021-1052, December.
  21. Muro, Kazunobu, 2007. "Individual preferences and the effect of uncertainty on irreversible investment," Research in Economics, Elsevier, vol. 61(4), pages 191-207, December.
  22. Maurice Obstfeld., 1993. "Risk-Taking, Global Diversification, and Growth," Center for International and Development Economics Research (CIDER) Working Papers C93-016, University of California at Berkeley.
  23. Söderlind, Paul, 2003. "C-CAPM and the Cross-Section of Sharpe Ratios," SIFR Research Report Series 18, Institute for Financial Research.
  24. Bhamra, Harjoat S. & Uppal, Raman, 2006. "The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 967-991, June.
  25. 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.
  26. Smith, William T., 1996. "Taxes, uncertainty, and long-term growth," European Economic Review, Elsevier, vol. 40(8), pages 1647-1664, November.
  27. Femminis, Gianluca, 1999. "On The Optimality of Risk-Sharing in Growth Models: The Role of Education," CEPR Discussion Papers 2264, C.E.P.R. Discussion Papers.
  28. Traeger, Christian P., 2011. "Interemporal Risk Aversion - or - Wouldn't it be Nice to Tell Whether Robinson Crusoe is Risk," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt67d581xt, Department of Agricultural & Resource Economics, UC Berkeley.
  29. Evans, Lynne & Kenc, Turalay, 2004. "FOREX risk premia and policy uncertainty: a recursive utility analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(1), pages 1-24, February.
  30. 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.
  31. Qiang Zhang, 2004. "Accounting for Human Capital and Weak Identification in Evaluating the Esptein-Zin-Weil Non-Expected Utility Model of Asset Pricing," CIRJE F-Series CIRJE-F-289, CIRJE, Faculty of Economics, University of Tokyo.
  32. Auffret, Philippe, 2001. "An alternative unifying measure of welfare gains from risk-sharing," Policy Research Working Paper Series 2676, The World Bank.
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