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

DOI10.1111/j.1467-9965.2007.00330.xzbMath1133.91363MaRDI QIDQ5459956

Costis Skiadas, Mark Schroder

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

Mathematics Subject Classification ID

91B16: Utility theory

91B24: Microeconomic theory (price theory and economic markets)

91B26: Auctions, bargaining, bidding and selling, and other market models

Related Items

Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty, Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents, Consumption-portfolio optimization with recursive utility in incomplete markets, Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.

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