OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
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Publication:5459956
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Cites work
- scientific article; zbMATH DE number 1069628 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
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Cited in
(10)- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
- 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
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Stochastic differential utility as the continuous-time limit of recursive utility
- Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty
- Consumption optimization for recursive utility in a jump-diffusion model
- Optimal consumption and investment with Epstein-Zin recursive utility
- Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
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