Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence


We consider a generalization of the recursive utility model by adding a new component that represents utility of investment gains and losses, and study the utility process in this generalized model with constant elasticity of... [ view full abstract ]


  1. Jing Guo (Columbia University)
  2. Xuedong He (The Chinese University of Hong Kong)

Topic Areas

Optimal Control , Portfolio Theory , Utility Theory


TU-P-SW » Equilibria: Macro - and Microeconomic Aspects (14:30 - Tuesday, 17th July, Swift)

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