Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence
Abstract
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 ]
Authors
- Jing Guo (Columbia University)
- Xuedong He (The Chinese University of Hong Kong)
Topic Areas
Optimal Control , Portfolio Theory , Utility Theory
Session
TU-P-SW » Equilibria: Macro - and Microeconomic Aspects (14:30 - Tuesday, 17th July, Swift)
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