Browsing Publikasjoner fra CRIStin (NHH) by Author "Aase, Knut K."
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Recursive utility using the stochastic maximum principle
Aase, Knut K. (Journal article; Peer reviewed, 2016)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 use the stochastic maximum ...