Auflistung nach Schlagwort "recursive utility"

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    • Asset Pricing Under Uncertainty About Shock Propagation 

      Branger, Nicole; Grüning, Patrick; Kraft, Holger; Meinerding, Christoph (2014-03-25)
      We analyze the equilibrium in a two-tree (sector) economy with two regimes. The output of each tree is driven by a jump-diffusion process, and a downward jump in one sector of the economy can (but need not) trigger a shift ...

    • Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility 

      Kraft, Holger; Seifried, Frank Thomas (2013-05-10)
      We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the ...