Equilibrium investment with random risk aversion
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Publication:6146680
DOI10.1111/mafi.12394OpenAlexW4382499393MaRDI QIDQ6146680
Mogens Steffensen, Sascha Desmettre
Publication date: 31 January 2024
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12394
time-inconsistencycertainty equivalentsequilibrium approachpower and exponential utilityrandom risk aversion
Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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