Search Results - subject:"Recursive preferences"

Industry bubbles and unexpected consumption shocks : a cross-sectional explanation of stock returns under recursive preferences

Rojo-Suárez, Javier; Alonso-Conde, Ana B.; … - In: International review of economics & finance : IREF 89 (2024) 1, pp. 1156-1169

Persistent link: https://www.econbiz.de/10014446616

Robust comparative statics for the elasticity of intertemporal substitution

Flynn, Joel P.; Schmidt, Lawrence D. W.; Toda, Alexis Akira - In: Theoretical Economics 18 (2023) 1, pp. 231-265

We study a general class of consumption-savings problems with recursive preferences. We characterize the sign of the …

Persistent link: https://www.econbiz.de/10014536953

Co-jumps and recursive preferences in portfolio choices

Oliva, Immacolata; Stefani, Ilaria - In: Annals of finance 19 (2023) 3, pp. 291-324

Persistent link: https://www.econbiz.de/10014380566

Robust comparative statics for the elasticity of intertemporal substitution

Flynn, Joel P.; Schmidt, Lawrence; Akira Toda, Alexis - In: Theoretical economics : TE ; an open access journal in … 18 (2023) 1, pp. 231-265

We study a general class of consumption-savings problems with recursive preferences. We characterize the sign of the …

Persistent link: https://www.econbiz.de/10014245414

Robustness meets co-jumps : optimal consumption and portfolio choice with derivatives

Oliva, Immacolata; Stefani, Ilaria - In: Quantitative finance 24 (2024) 12, pp. 1799-1822

Persistent link: https://www.econbiz.de/10015196971

Pricing indefinitely lived assets : experimental evidence

Duffy, John; Jiang, Janet Hua; Xie, Huan - In: Management science : journal of the Institute for … 70 (2024) 12, pp. 8772-8790

Persistent link: https://www.econbiz.de/10015145617

Asset pricing with time preference shocks : existence and uniqueness

Stachurski, John; Wilms, Ole; Zhang, Junnan - In: Journal of economic theory : JET 216 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015066983

The sensitivity of risk premiums to the elasticity of intertemporal substitution

Wu, Zhiting - In: Financial management : FM 53 (2024) 2, pp. 353-390

Persistent link: https://www.econbiz.de/10014543750

Inflation risk and the finance-growth nexus

Corhay, Alexandre; Tong, Jincheng - 2021

This paper shows that the effect of inflation on asset prices and real aggregates depends on the financial intermediation sector. When firms finance using nominal long-term debt issued by financial intermediaries, unexpected changes in inflation lead to a wealth transfer across sectors. Higher...

Persistent link: https://www.econbiz.de/10012595351

Pricing indefinitely lived assets : experimental evidence

Duffy, John; Jiang, Janet Hua; Xie, Huan - 2021

Persistent link: https://www.econbiz.de/10012617648

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