rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to … Markovian, which can be the case with recursive utility. With existence granted, the wealth portfolio is characterized in … equilibrium in terms of utility and aggregate consumption. The equilibrium real interest rate is derived, and the resulting model …

rate and risk premiums using recursive utility in a continuous time model. We consider the version of recursive utility … market portfolio is determined in terms of future utility and aggregate consumption in equilibrium. The equilibrium real … utility function when calibrated to market data, under various assumptions …

We consider a stochastic optimization problem of maximizing the expected utility from terminal wealth in an illiquid …