Dynamic choice with constant source-dependent relative risk aversion

DOI10.1007/S00199-015-0920-9MaRDI QIDQ889253zbMATH OpenOpenAlexFDO

Authors Costis Skiadas

Publication date 6 November 2015

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-015-0920-9

zbMATH Keywords

recursive utilityambiguity aversionEpstein-Zin-Weil utilitysmall-risk approximationssource-dependent risk aversion

Mathematics Subject Classification ID

Utility theory (91B16) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 1266748 (Why is no real title available?)
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
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• Maxmin expected utility with non-unique prior
• OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
• Optimal consumption and portfolio selection with stochastic differential utility
• Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
• Risk Aversion in the Small and in the Large
• Risk, ambiguity and the Savage axioms
• Robust control and recursive utility
• Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty
• Scale-invariant uncertainty-averse preferences and source-dependent constant relative risk aversion
• Stochastic Differential Utility
• Stochastic differential utility as the continuous-time limit of recursive utility

Cited in

(5)

• On recursive utilities with non-affine aggregator and conditional certainty equivalent
• On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty
• On the existence of expected utility with CRRA under STUR
• Dynamic Logit With Choice Aversion
• Scale-invariant uncertainty-averse preferences and source-dependent constant relative risk aversion

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