Nonrecursive separation of risk and time preferences
From MaRDI portal
Recommendations
- Intertemporal substitution, risk aversion and ambiguity aversion
- Recursive utility and preferences for information
- Nonexpected utility preferences in a temporal framework with an application to consumption-savings behaviour
- Stochastic Differential Utility
- Portfolio choice with non-expected utility in continuous time
Cites work
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Consistent Plans
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Dynamic Choice Theory and Dynamic Programming
- Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
- Golden Eggs and Hyperbolic Discounting
- scientific article; zbMATH DE number 3778468 (Why is no real title available?)
- Inconsistent investment and consumption problems
- Investment and consumption without commitment
- Investment-consumption with regime-switching discount rates
- Life insurance decisions under recursive utility
- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
- Mean-variance portfolio optimization with state-dependent risk aversion
- On time-inconsistent stochastic control in continuous time
- Optimal consumption and portfolio selection with stochastic differential utility
- Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
- Personal finance and life insurance under separation of risk aversion and elasticity of substitution
- Recursive utility and preferences for information
- Reexamination of the perfectness concept for equilibrium points in extensive games
- Stochastic Differential Utility
- Stochastic differential utility as the continuous-time limit of recursive utility
- Stochastic Partial Differential Equations and Portfolio Choice
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Time-consistent portfolio management
Cited in
(6)- On the rate of time preference under recursive preferences
- Measuring time and risk preferences in an integrated framework
- Risk Aversion, Indivisible Timing Options, and Gambling
- Equilibrium investment with random risk aversion
- What is the value of the annuity market?
- Optimal post-retirement investment and consumption under longevity risk in collective funds
This page was built for publication: Nonrecursive separation of risk and time preferences
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2201707)
