Portfolio choice with non-expected utility in continuous time
From MaRDI portal
Publication:902699
DOI10.1016/0165-1765(89)90084-0zbMath1328.91270MaRDI QIDQ902699
Publication date: 1 January 2016
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-41610
Related Items
Price uncertainty, saving, and welfare, Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice, Equilibrium consumption and precautionary savings in a stochastically growing economy, The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility, Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors, Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time, Efficient intertemporal allocations with recursive utility., Fertility, volatility, and growth, Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents, Optimal consumption and portfolio selection with stochastic differential utility, Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.