Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty

DOI10.1007/S11579-013-0103-ZzbMATH Open1290.91059OpenAlexW2164764535MaRDI QIDQ367371FDOQ367371

Costis Skiadas

Publication date: 13 September 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-013-0103-z

zbMATH Keywords

Knightian uncertaintyportfolio theoryrecursive utilityambiguity aversionasset pricing theory

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

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• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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• Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
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• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
• Scale-invariant uncertainty-averse preferences and source-dependent constant relative risk aversion
• OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION

Cited In (3)

• Dynamic choice with constant source-dependent relative risk aversion
• Scale-invariant uncertainty-averse preferences and source-dependent constant relative risk aversion
• Asset prices in an ambiguous economy

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