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.2008.08.008MaRDI QIDQ1039733zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Portfolio choice with non-expected utility in continuous time
• The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution
• Intertemporal substitution, risk aversion and ambiguity aversion

Cites work

• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• An Intertemporal Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Asset Prices in an Exchange Economy
• Comparative Dynamics and Risk Premia in an Overlapping Generations Model
• Constant, Increasing and Decreasing Risk Aversion with Many Commodities
• Dynamic Choice Theory and Dynamic Programming
• Dynamic Choices of Hyperbolic Consumers
• Efficiency and equilibrium when preferences are time-inconsistent
• Golden Eggs and Hyperbolic Discounting
• Intertemporal Price Discrimination
• Least concave utility functions
• On the Existence of a Consistent Course of Action when Tastes are Changing
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio choice with non-expected utility in continuous time
• Risk Aversion in the Small and in the Large
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Temporal von Neumann-Morgenstern and induced preferences
• The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility

Cited in

(8)

• On Bellman's principle with inequality constraints
• Risk neutrality regions
• Portfolio choice with non-expected utility in continuous time
• The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility
• Robust comparative statics for the elasticity of intertemporal substitution
• 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
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

This page was built for publication: Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1039733)