Blar i Discussion papers (FOR) på emneord "early resolution"
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Recursive utility and jump-diffusions
(Discussion paper;09/14, Working paper, 2014-03)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 ... -
Recursive utility and the equity premium puzzle: A discrete-time approach
(Discussion papers;2013/03, Working paper, 2013-05)We study the Epstein-Zin model with recursive utility. Recognizing that recursive preferences implies that the underlying model is not Markovian, we use methods not depending upon the Markov property to solve the model. ... -
What puzzles? : new insights in asset pricing
(Discussion paper;2012:13, Working paper, 2012-11)Motivated by the problems of the conventional model in rationalizing izing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in continuous time. In a representative- agent ...