Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents

DOI10.1007/s11579-010-0030-1zbMath1255.91107OpenAlexW3125326731MaRDI QIDQ1932535

Holger Kraft, Frank Thomas Seifried

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: http://publikationen.ub.uni-frankfurt.de/files/6243/1801.pdf

zbMATH Keywords

dynamic programmingnormalizationrecursive utilitycertainty equivalentsstochastic differential utilityLévy framework

Mathematics Subject Classification ID

Utility theory (91B16) Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (6)

Continuous-time smooth ambiguity preferences ⋮ Consumption-portfolio optimization with recursive utility in incomplete markets ⋮ Nonrecursive separation of risk and time preferences ⋮ Life insurance decisions under recursive utility ⋮ Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation ⋮ Personal finance and life insurance under separation of risk aversion and elasticity of substitution

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