continuous time via backward stochastic differential equations (stochastic differential utility). Furthermore, we show that the … stochastic differential utility and, finally, establish dynamic programming results. …

This paper considers asset pricing models with stochastic differential utility incorporating decision makers׳ concern …

In this paper, an analytic approach is applied to approximate stochastic differential utility for both endowment and …

volatility of equity returns. By utilizing the stochastic differential utility, this study demonstrates that the current model …

investor has stochastic differential utility with ambiguity aversion and incurs utility loss from active portfolio management …