Asset pricing with a forward--backward stochastic differential utility

DOI10.1016/S0165-1765(01)00432-3zbMath0988.91039MaRDI QIDQ5941377

Fabio Antonelli, Maria Elvira Mancino, Emilio Basrucci

Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

asset pricingdisappointmentanticipationequity premiumforward backward SDU

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

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Cites Work

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• Asset pricing with a forward--backward stochastic differential utility