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  • Search: subject:"stochastic differential utility"
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Year of publication
Subject
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Stochastic differential utility 27 Nutzen 21 Theorie 21 Utility 21 Theory 20 Risiko 16 Risk 16 Stochastischer Prozess 16 Stochastic process 15 Portfolio selection 13 Portfolio-Management 13 stochastic differential utility 10 CAPM 8 Nutzenfunktion 8 Utility function 8 Risikoaversion 7 Risk aversion 7 Decision under uncertainty 6 Entscheidung unter Unsicherheit 6 recursive utility 6 Asset pricing 5 Recursive utility 5 Analysis 4 Climate change 4 Greenhouse gas emissions 4 Intertemporal choice 4 Intertemporale Entscheidung 4 Klimawandel 4 Mathematical analysis 4 Social costs 4 Soziale Kosten 4 Stochastic Differential Utility 4 Treibhausgas-Emissionen 4 Ambiguity Aversion 3 Ambiguity aversion 3 Climate Change 3 Climate change economics 3 Consumption theory 3 Discounting 3 Diskontierung 3
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Online availability
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Undetermined 21 Free 18 CC license 1
Type of publication
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Article 30 Book / Working Paper 17
Type of publication (narrower categories)
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Article in journal 20 Aufsatz in Zeitschrift 20 Working Paper 13 Arbeitspapier 8 Graue Literatur 8 Non-commercial literature 8 Article 1
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Language
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English 36 Undetermined 11
Author
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Kraft, Holger 11 Seifried, Frank Thomas 8 Hambel, Christoph 3 Herdegen, Martin 3 Jerome, Joseph 3 Nakamura, Nobuhiro 3 Schwartz, Eduardo S. 3 Seiferling, Thomas 3 Suzuki, Masataka 3 Beißner, Patrick 2 Campani, Carlos Heitor 2 Chen, Yu 2 Dianetti, Jodi 2 Garcia, René 2 Hobson, David G. 2 Jeong, Daehee 2 Kelly, Peter 2 Kim, Hwagyun 2 Kusuda, Koji 2 Olijslagers, Stan 2 Park, Joon Y. 2 Riedel, Frank 2 Stanza, Lorenzo 2 Wijnbergen, Sweder van 2 Antonelli, Fabio 1 Barut, Yasar N. 1 Batbold, Bolorsuvd 1 Caravello, Tomás E. 1 Choi, Kyoung Jin 1 Cosimano, Thomas 1 Cosimano, Thomas F. 1 Driffill, John 1 Han, Nan-Wei 1 Himonas, Alex 1 Himonas, Alex A. 1 Hobson, David 1 Hung, Mao-Wei 1 Jang, Bong-Gyu 1 Kashiwabara, Akira 1 Kenç, Turalay 1
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Institution
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Research Center SAFE (Sustainable Architecture for Finance in Europe), House of Finance 2 EconWPA 1 Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 1
Published in...
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Asia-Pacific Financial Markets 4 Finance and stochastics 3 Journal of economic dynamics & control 3 SAFE Working Paper 3 SAFE working paper 3 Discussion paper series : discussion paper 2 Mathematical finance : an international journal of mathematics, statistics and financial economics 2 Mathematics and financial economics 2 SAFE Working Paper Series 2 Annals of Economics and Finance 1 Annals of Finance 1 Annals of finance 1 Center for Mathematical Economics Working Papers 1 Computational Economics 1 Computational economics 1 Discussion paper / Tinbergen Institute 1 Discussion papers / CEPR 1 Economic Theory 1 European economic review : EER 1 European journal of operational research : EJOR 1 Finance 1 Finance and Stochastics 1 Finance research letters 1 Insurance / Mathematics & economics 1 Journal of Financial Economics 1 Journal of banking & finance 1 Journal of economic theory 1 Journal of financial economics 1 The North American journal of economics and finance : a journal of financial economics studies 1 Tinbergen Institute Discussion Paper 1 Working Paper Series: Finance & Accounting 1 Working Papers / Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 1 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 1
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Source
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ECONIS (ZBW) 28 RePEc 13 EconStor 6
Showing 1 - 10 of 47
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Properties of Homothetic Robust Epstein-Zin Utility
Kusuda, Koji - 2025
Persistent link: https://www.econbiz.de/10015358362
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Proper solutions for Epstein–Zin stochastic differential utility
Herdegen, Martin; Hobson, David; Jerome, Joseph - In: Finance and Stochastics 29 (2025) 3, pp. 885-932
Abstract This article considers existence and uniqueness of infinite-horizon Epstein–Zin stochastic differential … utility (EZ-SDU) for the case that the coefficients Rof relative risk aversion and Sof elasticity of intertemporal …
Persistent link: https://www.econbiz.de/10015436223
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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
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Robust control and CAPMs under a quadratic model with inflation-deflation risk
Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji - 2024
Persistent link: https://www.econbiz.de/10014549675
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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/10014473535
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The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations
Herdegen, Martin; Hobson, David G.; Jerome, Joseph - In: Finance and stochastics 27 (2023) 1, pp. 127-158
Persistent link: https://www.econbiz.de/10013489501
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The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II : existence, uniqueness and verification for θ ∈ (0, 1)
Herdegen, Martin; Hobson, David G.; Jerome, Joseph - In: Finance and stochastics 27 (2023) 1, pp. 159-188
Persistent link: https://www.econbiz.de/10013489503
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Stability of the Epstein-Zin problem
Monoyios, Michael; Mostovyi, Oleksii - In: Mathematical finance : an international journal of … 34 (2024) 4, pp. 1263-1290
Persistent link: https://www.econbiz.de/10015149386
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On the sources of the aggregate risk premium : risk aversion, bubbles or regime-switching?
Caravello, Tomás E.; Driffill, John; Kenç, Turalay; … - In: Journal of economic dynamics & control 166 (2024), pp. 1-25
Persistent link: https://www.econbiz.de/10015051271
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Optimal carbon abatement in a stochastic equilibrium model with climate change
Hambel, Christoph; Kraft, Holger; Schwartz, Eduardo S. - 2019
This paper studies a dynamic stochastic general equilibrium model involving climate change. Our frame- work allows for feedback effects on the temperature dynamics. We are able to match estimates of future temperature distributions provided in the fifth assessment report of the IPCC (2014). We...
Persistent link: https://www.econbiz.de/10012064284
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