Equilibrium investment with random risk aversion

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

zbMATH Keywords

time-inconsistencycertainty equivalentsequilibrium approachpower and exponential utilityrandom risk aversion

Mathematics Subject Classification ID

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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