Term structure of interest rates under recursive preferences in continuous time

DOI10.1007/S10690-009-9082-8MaRDI QIDQ842835zbMATH OpenOpenAlexFDO

Authors Hisashi Nakamura, Keita Nakayama, Akihiko Takahashi

Publication date 25 September 2009

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-009-9082-8

zbMATH Keywords

continuous timeterm structure of interest ratesrecursive preference

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cites work

• A term structure model with preferences for the timing of resolution of uncertainty
• A theory of the term structure of interest rates
• Optimal consumption and portfolio selection with stochastic differential utility
• Recursive utility and preferences for information
• Stochastic Differential Utility
• Temporal Resolution of Uncertainty and Dynamic Choice Theory

Cited in

(2)

• On the rate of time preference under recursive preferences
• Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS

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