Auflistung LIF-SAFE Working Papers nach JEL-Klassifizierung "D52"

Anzeige der Dokumente 1-3 von 3

    • International Capital Markets with Time-Varying Preferences 

      Curatola, Giuliano; Dergunov, Ilya (2017-08-02)
      We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on ...

    • Optimal Consumption and Investment with Epstein-Zin Recursive Utility 

      Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas (2016-07-04)
      We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ...

    • Optimists and Pessimists in (In)Complete Markets 

      Branger, Nicole; Konermann, Patrick; Schlag, Christian (2019-06-06)
      We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In ...