Blar i Discussion papers (FOR) på emneord "recursive utility"
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Heterogeniety and limited stock market participation
(Discussion paper;05/14, Working paper, 2014-02)We derive the equilibrium interest rate and risk premiums using recursive utility with heterogeneity in a continuous time model. Two ordinally equivalent versions are considered, each associated with a di erent set of ... -
Optimal spending of a wealth fund in the discrete time life cycle model
(Discussion paper;7/23, Working paper, 2023-06-09)The paper analyses optimal spending of an endowment fund. We use the life cycle model for both expected utility and recursive utility in discrete time. First we find the optimal consumption and investment policies for both ... -
The optimal spending rate versus the expected real return of a sovereign wealth fund
(Discussion paper;1/21, Working paper, 2021-02-04)We consider a sovereign wealth fund that invests broadly in the international financial markets. The influx to the fund has stopped. We adopt the life cycle model and demonstrate that the optimal spending rate from the ... -
Recursive utility and disappearing puzzles for continuous-time models
(Discussion papers;2013/02, Working paper, 2013-05)Motivated by the problems of the conventional model in rational- izing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous time model. Two ordinally equivalent ... -
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 jump-diffusions
(Discussion paper;06/15, Working paper, 2015-01-30)We derive the equilibrium interest rate and risk premiums using recursive utility for jump-diffusions. 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. ... -
Recursive utility using the stochastic maximum principle
(Discussion paper;03/14, Working paper, 2014-02)Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous time model. We consider ... -
The equity premium in a production economy; A new perspective involving recursive utility
(Discussion paper;15/15, Working paper, 2015-04-10)We study a rational expectations' competitive equilibrium in a production economy, i.e., a system of prices at which firms' profit maximizing production decisions and individuals' preferred affordable consumption choices ... -
The Life Cycle Model with Recursive Utility: New insights on optimal consumption
(Discussion papers;19/14, Working paper, 2014-05)We analyze optimal consumption, including pensions, during the life time of a consumer using the life cycle model, when the consumer has recursive utility. The model framework is that of continuous-time with diffusion ... -
The optimal extraction rate versus the expected real return of a sovereign wealth fund: Some simulations
(Discussion paper;7/19, Working paper, 2019-09-06)With reference to funds established for the benefits of the public at large, a university endowment, or other similar sovereign wealth fund, we demonstrate that the optimal extraction rate from the fund is significantly ... -
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 ...