OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION

DOI10.1111/J.1467-9965.2007.00330.XzbMATH Open1133.91363OpenAlexW1984671878MaRDI QIDQ5459956FDOQ5459956

Publication date: 30 April 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00330.x

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Cited In (10)

Stochastic differential utility as the continuous-time limit of recursive utility
Consumption-portfolio optimization with recursive utility in incomplete markets
Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
Dynamic choice with constant source-dependent relative risk aversion
Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
Optimal consumption and investment with Epstein-Zin recursive utility
Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty
Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
Consumption optimization for recursive utility in a jump-diffusion model

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