Search Results - subject:"récursive utility"

Long-run productivity risk : a new hope for production-based asset pricing?

Croce, Mariano M. - In: Journal of monetary economics 66 (2014), pp. 13-31

Persistent link: https://www.econbiz.de/10010482383

Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments

Satchell, Stephen; Thorp, Susan - Finance Discipline Group, Business School - 2007

with recursive utility: Dynamic consumption plans for charitable endowments Stephen Satchell and Susan Thorp … ISSN 1441-8010 www.qfrc.uts.edu.au Scenario analysis with recursive utility: dynamic consumption plans …. JEL Classification: G00; D81; D91 Keywords: Recursive utility; Stochastic dominance; Inter-temporal choice …

Persistent link: https://www.econbiz.de/10004984606

What Drives Corporate Bond Market Betas?

Abhyankar, Abhay; Gonzalez, Angelica - School of Economics, University of Edinburgh - 2007

We study the cross-section of expected corporate bond returns using an intertemporal CAPM with three factors; innovations in future excess bond returns, future real interest rates and future expected inflation. Our test assets are a broad range of bond market index portfolios of different...

Persistent link: https://www.econbiz.de/10005086758

Endogenous Discounting via Wealth, Twin-Peaks and the Role of Technology

Ingmar, SCHUMACHER - Institut de Recherche Économique et Sociale (IRES), … - 2006

The articles gives new answers to the following questions : One, what can be potential source of the twin-peaks of economi growth ? Two, why were some of the countries that were believed to belong to the group of low steady state countries (like Taiwan, South Korea, Japan, etc) able to reach a...

Persistent link: https://www.econbiz.de/10004984719

On optimality, endogeneous discounting and wealth accumulation

Ingmar, SCHUMACHER - Institut de Recherche Économique et Sociale (IRES), … - 2006

We endogenize the discount rate via a broad measure of wealth and provide empirical evidence that wealth the discount rate negatively. We demonstrate that the Pontryagin conditions require positive felicity for intuitive results, whereas the concavity of the Hamiltonian requires negative...

Persistent link: https://www.econbiz.de/10004984772

Endogenous discounting via wealth, twin-peaks and the role of technology

SCHUMACHER, Ingmar - Center for Operations Research and Econometrics (CORE), … - 2006

The article gives new answers to the two following questions: One, what can be a potential source of the twin-peaks of economic growth? Two, why were some of the countries that were believed to belong to the group of low steady state countries (like Taiwan, South Korea, Japan, etc.) able to...

Persistent link: https://www.econbiz.de/10005043077

Dynamic Variational Preferences

Maccheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo - Collegio Carlo Alberto, Università degli Studi di Torino - 2006

We introduce and axiomatize dynamic variational preferences, the dynamic version of the variational preferences we axiomatized in [21], which generalize the multiple priors preferences of Gilboa and Schmeidler [9], and include the Multiplier Preferences inspired by robust control and first used...

Persistent link: https://www.econbiz.de/10005094065

On optimality, endogenous discounting and wealth accumulation

SCHUMACHER, Ingmar - Center for Operations Research and Econometrics (CORE), … - 2006

We endogenize the discount rate via a broad measure of wealth and provide empirical evidence that wealth affects the discount rate negatively. We demonstrate that the Pontryagin conditions require positive felicity for intuitive results, whereasthe concavity of the Hamiltonian requires negative...

Persistent link: https://www.econbiz.de/10005065304

Preferences, Lï¿½vy Jumps and Option Pricing

Ma, Chenghu - 2013

This paper derives an equilibrium formula for pricing European options and other contingent claims which allows incorporating impacts of several important economic variable on security prices including, among others, representative agent preferences, future volatility and rare jump events. The...

Persistent link: https://www.econbiz.de/10010892134

Asset-Pricing Implications of Biologically Based Non-Expected Utility

Iantchev, Emil - In: Review of Economic Dynamics 16 (2013) 3, pp. 497-510

Results in population ecology suggest that evolutionary successful species should have an adaptive (reference-based) S-shaped utility function that is intrinsically more sensitive to aggregate than uninsured idiosyncratic shocks--the former cannot be diversified demographically. To test the...

Persistent link: https://www.econbiz.de/10010856600