Continuous-time security pricing. A utility gradient approach
From MaRDI portal
Publication:1322708
DOI10.1016/0304-4068(94)90001-9zbMath0804.90017MaRDI QIDQ1322708
Costis Skiadas, J. Darrell Duffie
Publication date: 5 May 1994
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4068(94)90001-9
asset pricing; stochastic differential utility; continuous-time security market; habit-forming utilities; semimartingale prices
Related Items
Optimal Consumption‐Portfolio Policies With Habit Formation1, Utility based pricing of contingent claims in incomplete markets, LIFE INSURANCE AND PENSION CONTRACTS II: THE LIFE CYCLE MODEL WITH RECURSIVE UTILITY, Optimal retirement time under habit persistence: what makes individuals retire early?, General equilibrium pricing with multiple dividend streams and regime switching, Derivative pricing under asymmetric and imperfect collateralization and CVA, Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets, Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach, Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty, First steps towards an equilibrium theory for Lévy financial markets, Hidden persistent disasters and asset prices, Envelope theorems in Banach lattices and asset pricing, Optimal consumption and investment with Epstein-Zin recursive utility, Consumption-investment optimization with Epstein-Zin utility in incomplete markets, Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities, Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk, Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available, On the pricing of longevity-linked securities, Stochastic equilibria for economies under uncertainty with intertemporal substitution, Numerical approach to asset pricing models with stochastic differential utility, A two-person dynamic equilibrium under ambiguity, On equilibrium prices in continuous time, Efficient and equilibrium allocations with stochastic differential utility, Asset and commodity prices with multi-attribute durable goods, Rational hedging and valuation of integrated risks under constant absolute risk aversion., Non-addictive habits: optimal consumption-portfolio policies., Efficient consumption set under recursive utility and unknown beliefs., Explicit characterizations of financial prices with history-dependent utility, Pricing long-lived securities in dynamic endowment economies, Continuous-time smooth ambiguity preferences, On the pricing of contingent claims under constraints, A dynamic maximum principle for the optimization of recursive utilities under constraints., Optimal consumption choice with intertemporal substitution, Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents, Consumption-portfolio optimization with recursive utility in incomplete markets, Optimal consumption and portfolio selection with stochastic differential utility, On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market, Robust utility maximization under convex portfolio constraints, A term structure model with preferences for the timing of resolution of uncertainty, Optimal risk transfer and investment policies based upon stochastic differential utilities, Optimal consumption and portfolio choice with ambiguity and anticipation, Multifrequency jump-diffusions: An equilibrium approach, Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income, Backward stochastic Volterra integral equations and some related problems, Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences., LINKED RECURSIVE PREFERENCES AND OPTIMALITY, Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity, INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asset pricing for general processes
- Information structures and viable price systems
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Martingales and arbitrage in multiperiod securities markets
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- On intertemporal preferences in continuous time. The case of certainty
- Backward-forward stochastic differential equations
- A new approach to the existence of equilibria in vector lattices
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
- Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
- An Intertemporal General Equilibrium Model of Asset Prices
- An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
- Equivalent Equilibria
- Asset Prices in an Exchange Economy with Habit Formation
- Stochastic Differential Utility
- Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- The Consumption-Based Capital Asset Pricing Model
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Optimal Growth with Intertemporally Dependent Preferences
