Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors
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Cites work
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- An Intertemporal Capital Asset Pricing Model
- 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
- scientific article; zbMATH DE number 3342731 (Why is no real title available?)
- 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
(9)- Disentangling intertemporal substitution and risk aversion under the expected utility theorem
- Personal finance and life insurance under separation of risk aversion and elasticity of substitution
- On Bellman's principle with inequality constraints
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Robust comparative statics for the elasticity of intertemporal substitution
- Individual survivor fund account: the impact of bequest motives on tontine participation
- 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
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