Search Results - subject:"recursive utility"

Nash reversion revisited : implications of gain/loss asymmetry

Sekiguchi, Tadashi; Wakai, Katsutoshi - 2025

Persistent link: https://www.econbiz.de/10015332557

Beyond present bias: exploring temporal smoothing biases

Drugeon, Jean-Pierre; Wigniolle, Bertrand - 2025

Persistent link: https://www.econbiz.de/10015333208

Real term premia in consumption-based models

Melissinos, Errikos - 2024

premia. In relation to preferences, I consider models with both time-separable and recursive utility functions. Specifically … for recursive utility, I introduce a novel perturbation solution method in terms of the intertemporal elasticity of …

Persistent link: https://www.econbiz.de/10014449147

Optimal consumption and investment under relative performance citeria with Epstein-Zin utility

Dianetti, Jodi; Riedel, Frank; Stanza, Lorenzo - 2024

We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the mean-field version of the game, based on a study of...

Persistent link: https://www.econbiz.de/10014476337

Optimal consumption for recursive preferences with local substitution under risk

Li, Hanwu; Riedel, Frank - 2024

We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and...

Persistent link: https://www.econbiz.de/10015077806