Portfolio choice with non-expected utility in continuous time

DOI10.1016/0165-1765(89)90084-0zbMath1328.91270OpenAlexW1980857400MaRDI QIDQ902699

Lars E. O. Svensson

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-41610

Mathematics Subject Classification ID

Utility theory (91B16) Individual preferences (91B08) Portfolio theory (91G10)

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Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• A New Representation of Preferences over "Certain x Uncertain" Consumption Pairs: The "Ordinal Certainty Equivalent" Hypothesis
• An OCE Analysis of the Effect of Uncertainty on Saving Under Risk Preference Independence
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework