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

Auctions, bargaining, bidding and selling, and other market models (91B26) Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

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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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