A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
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Publication:4883971
DOI10.2307/2298079zbMATH Open0847.90030OpenAlexW3122606573MaRDI QIDQ4883971FDOQ4883971
Angelo Melino, Larry G. Epstein
Publication date: 13 October 1996
Published in: Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w4524.pdf
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Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)
Cited In (10)
- Solution of macromodels with Hansen-Sargent robust policies: some extensions
- A discrete-time intertemporal asset pricing model: GE approach with recursive utility
- State preference theory and asset pricing. An introduction
- Recursive utility and optimal capital accumulation. II: Sensitivity and duality theory
- Unique solutions for stochastic recursive utilities
- Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
- An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications
- Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps
- Co-jumps and recursive preferences in portfolio choices
- An introduction to hypergeometric functions for economists
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