dc.contributor.author | Aase, Knut K. | |
dc.date.accessioned | 2014-05-14T07:07:43Z | |
dc.date.available | 2014-05-14T07:07:43Z | |
dc.date.issued | 2014-03 | |
dc.identifier.issn | 1500-4066 | |
dc.identifier.uri | http://hdl.handle.net/11250/194971 | |
dc.description.abstract | We derive the equilibrium interest rate and risk premiums using
recursive utility for jump-di usions. Compared to to the continuous
version, including jumps allows for a separate risk aversion related to
jump size risk in addition to risk aversion related to the continuous
part. We also consider a version that allows marginal utility to depend
on past consumption. The models with jumps are shown to have a
potential to give better explanation of empirical regularities than the
recursive models based on merely continuous dynamics. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | FOR | nb_NO |
dc.relation.ispartofseries | Discussion paper;09/14 | |
dc.subject | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | nb_NO |
dc.subject | recursive utility | nb_NO |
dc.subject | jump dynamics | nb_NO |
dc.subject | the stochastic maximum principle | nb_NO |
dc.subject | early resolution | nb_NO |
dc.subject | utility gradients | nb_NO |
dc.title | Recursive utility and jump-diffusions | nb_NO |
dc.type | Working paper | nb_NO |