Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents (Q1932535): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3125326731 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and integral-partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Generalization of the Quasilinear Mean with Applications to the Measurement of Income Inequality and Decision Theory Resolving the Allais Paradox / rank
 
Normal rank
Property / cites work
 
Property / cites work: Axiomatic utility theories with the betweenness property / rank
 
Normal rank
Property / cites work
 
Property / cites work: An axiomatic characterization of preferences under uncertainty: Weakening the independence axiom / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Differential Utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: PDE solutions of stochastic differential utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time security pricing. A utility gradient approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Global Stability of Efficient Intertemporal Allocations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3721531 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3774629 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Temporal Resolution of Uncertainty and Dynamic Choice Theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Generalized Stochastic Differential Utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: An existence theorem of intertemporal recursive utility in the presence of Lévy jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: "Expected Utility" Analysis without the Independence Axiom / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption and portfolio selection with stochastic differential utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Recursive utility and preferences for information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio choice with non-expected utility in continuous time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 02:21, 6 July 2024

scientific article
Language Label Description Also known as
English
Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
scientific article

    Statements

    Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents (English)
    0 references
    0 references
    0 references
    20 January 2013
    0 references
    recursive utility
    0 references
    stochastic differential utility
    0 references
    Lévy framework
    0 references
    certainty equivalents
    0 references
    normalization
    0 references
    dynamic programming
    0 references
    0 references
    0 references

    Identifiers