OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION

DOI10.1111/J.1467-9965.2007.00330.XzbMath1133.91363OpenAlexW1984671878MaRDI QIDQ5459956

Mark Schroder, Costis Skiadas

Publication date: 30 April 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00330.x

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (10)

Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty ⋮ Dynamic choice with constant source-dependent relative risk aversion ⋮ Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents ⋮ Stochastic differential utility as the continuous-time limit of recursive utility ⋮ Consumption-portfolio optimization with recursive utility in incomplete markets ⋮ Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets ⋮ Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics ⋮ Optimal consumption and investment with Epstein-Zin recursive utility ⋮ Consumption optimization for recursive utility in a jump-diffusion model ⋮ Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.

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