The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility
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Publication:956538
DOI10.1016/J.JEDC.2005.04.001zbMATH Open1200.91275OpenAlexW3123079565MaRDI QIDQ956538FDOQ956538
Harjoat S. Bhamra, Raman Uppal
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2005.04.001
Cites Work
- Optimal consumption and portfolio selection with stochastic differential utility
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Portfolio choice with non-expected utility in continuous time
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
- Market equilibrium with heterogeneous recursive-utility-maximizing agents
Cited In (7)
- Volatility risk and economic welfare
- Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors
- Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available
- Consumption-portfolio choice with subsistence consumption and risk aversion change at retirement
- Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Understanding saving and portfolio choices with predictable changes in assets returns
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