Recursive utility and disappearing puzzles for continuous-time models
Year of publication: |
2013-05-15
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Authors: | Aase, Knut K. |
Institutions: | Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH) |
Subject: | The equity premium puzzle | the risk-free rate puzzle | recursive utility | utility gradients | the stochastic maximum principle | heterogeneity | limited market participation | optimal asset allocation |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Discussion Papers Number 2013/2 53 pages |
Classification: | D51 - Exchange and Production Economies ; D53 - Financial Markets ; D90 - Intertemporal Choice and Growth. General ; E21 - Consumption; Saving ; G10 - General Financial Markets. General ; G12 - Asset Pricing |
Source: |
-
Heterogeneity and limited stock market Participation
Aase, Knut K., (2014)
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What Puzzles? New insights in asset pricing
Aase, Knut K., (2012)
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Recursive utility using the stochastic maximum principle
Aase, Knut K., (2014)
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Strategic Insider Trading Equilibrium: A Forward Integration Approach
Aase, Knut K., (2007)
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On the Consistency of the Lucas Pricing Formula
Aase, Knut K., (2005)
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Recursive utility using the stochastic maximum principle
Aase, Knut K., (2014)
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