Linked recursive preferences and optimality

DOI10.1111/MAFI.12047MaRDI QIDQ2788691zbMATH OpenOpenAlexFDO

Authors S. Sinha, Mark Schroder, Shlomo Levental

Publication date 22 February 2016

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/mafi.12047

zbMATH Keywords

behavioral contract theoryBSDEoptimizationPareto optimalityrecursive preferencesteam contracttranslation-invariant preferences

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

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Cited in

(3)

• The replacement principle and tree structured preferences
• Brownian equilibria under Knightian uncertainty
• A weak utility function for acyclic preferences

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