Recursive utility using the stochastic maximum principle
Year of publication: |
2014-02-20
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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 | the stochastic maximum principle |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Discussion Papers Number 2014/3 35 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: |
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