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  • Search: subject:"quadradtic backward stochastic differential equations"
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beliefs 1 martingale condition 1 quadradtic backward stochastic differential equations 1 recursive utility 1
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Free 1
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Book / Working Paper 1
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Lazrak, Ali 1 Zapatero, Fernando 1
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Finance Discipline Group, Business School 1
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Research Paper Series / Finance Discipline Group, Business School 1
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Efficient Consumption Set Under Recursive Utility and Unknown Beliefs
Lazrak, Ali; Zapatero, Fernando - Finance Discipline Group, Business School - 2002
In a context of complete financial markets where asset prices follow Ito's processes, we characterize the set of consumption processes which are optimal for a given stochastic differential utility (e.g. Duffie and Epstein (1992)) when beliefs are unknown. Necessary and sufficient conditions for...
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