Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors

DOI10.1016/J.JMATECO.2008.08.008zbMATH Open1176.91148OpenAlexW2126223120MaRDI QIDQ1039733FDOQ1039733

Richard Kihlstrom

Publication date: 23 November 2009

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2008.08.008

zbMATH Keywords

asset pricingdynamic portfolio theoryfinancial market equilibrium

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
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• Constant, Increasing and Decreasing Risk Aversion with Many Commodities
• Portfolio choice with non-expected utility in continuous time
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• The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility
• Comparative Dynamics and Risk Premia in an Overlapping Generations Model
• Dynamic Choice Theory and Dynamic Programming

Cited In (4)

• On Bellman's principle with inequality constraints
• Risk neutrality regions
• Personal finance and life insurance under separation of risk aversion and elasticity of substitution
• Disentangling intertemporal substitution and risk aversion under the expected utility theorem

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