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 …

We study the Epstein-Zin model with recursive utility. Recognizing that recursive preferences implies that the …

We derive the equilibrium interest rate and risk premiums using recursive utility for jump-diffusions. Compared to to … circumstances. We consider the version of recursive utility which gives the most unambiguous separation of risk preference from time … processes for future utility and aggregate consumption. It is indicated that this model has the potential to give reasonable …

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 …

We address how recursive utility affects important results in the theory of economics of uncertainty and time, as … standard theory are less puzzling with recursive utility, even if this type of preference representation seems close to the … standard one at first sight. The basic difference is that recursive utility allows a form of separation of consumption …