Browsing Discussion papers (FOR) by Subject "the stochastic maximum principle"

Now showing items 1-6 of 6

    • Heterogeniety and limited stock market participation 

      Aase, Knut K. (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 ...

    • Recursive utility and disappearing puzzles for continuous-time models 

      Aase, Knut K. (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 

      Aase, Knut K. (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 

      Aase, Knut K. (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 using the stochastic maximum principle 

      Aase, Knut K. (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 Life Cycle Model with Recursive Utility: New insights on optimal consumption 

      Aase, Knut K. (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 ...