Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
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Publication:1932535
DOI10.1007/s11579-010-0030-1zbMath1255.91107OpenAlexW3125326731MaRDI QIDQ1932535
Holger Kraft, Frank Thomas Seifried
Publication date: 20 January 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: http://publikationen.ub.uni-frankfurt.de/files/6243/1801.pdf
dynamic programmingnormalizationrecursive utilitycertainty equivalentsstochastic differential utilityLévy framework
Utility theory (91B16) Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (6)
Continuous-time smooth ambiguity preferences ⋮ Consumption-portfolio optimization with recursive utility in incomplete markets ⋮ Nonrecursive separation of risk and time preferences ⋮ Life insurance decisions under recursive utility ⋮ Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation ⋮ Personal finance and life insurance under separation of risk aversion and elasticity of substitution
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