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  • Search: subject:"consistent stochastic utilities"
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Year of publication
Subject
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Long term Yield curve 1 Ramsey Rule 1 SDEs 1 Utility SPDE 1 consistent stochastic utilities 1 forward utilities 1 stochastic flows 1 stochastic utility with consumtion 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Hillairet, Caroline 1 Karoui, Nicole El 1 Mrad, Mohamed 1
Institution
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HAL 1
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Working Papers / HAL 1
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RePEc 1
Showing 1 - 1 of 1
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Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
Karoui, Nicole El; Hillairet, Caroline; Mrad, Mohamed - HAL - 2014
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization,...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010821470
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