Computational methods for production-based asset pricing models with recursive utility

DOI10.1515/SNDE-2017-0003MaRDI QIDQ2699590zbMATH OpenOpenAlexFDO

Authors Eric Mark Aldrich, Howard Kung

Publication date 19 April 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2017-0003

zbMATH Keywords

asset pricingDSGE modelsnonlinear solution methodsnumerical dynamic programmingrecursive utility

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Accuracy in Simulations
• Asymptotic methods for aggregate growth models
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• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
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• Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Cited in

(1)

• A Revealed Preference Analysis of Asset Pricing Under Recursive Utility

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