Now showing items 1-10 of 66
Fixed point for local contractions: applications to recursive utility
The paper shows how fixed-point results for local contractions apply to the study of the existence and uniqueness of recursive utility functions defined on subsets of + and being continuous for a specific topology. Two ...
Dynamic hedging with stochastic diﬀerential utility
(Sociedade Brasileira de Econometria, 2006-11-01)
In this paper we study the dynamic hedging problem using three diﬀerent utility speciﬁcations: stochastic diﬀerential utility, terminal wealth utility, and a new utility transformation which includes features from the two ...
Asynnnetric smiles, leverage effects and structural parameters
(Escola de Pós-Graduação em Economia da FGV, 2000-07-27)
A consumption CAPM with a reference level
(Escola de Pós-Graduação em Economia da FGV, 2006-03-30)
We study an intertemporal asset pricing model in which a representative consumer maximizes expected utility derived from both the ratio of his consumption to some reference level and this level itself. If the reference ...
Ergodic Markov equilibrium with incomplete markets and short sales
This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. ...
Optimal Economic growth with recursive preferences: decreasing rate of time preference
(Universidad de Chile. Facultad de Economía y Negocios, 1998-12)
In the field of optimal growth theory, since Ramsey's time it is frequent to maximize a welfare function consisting of the discounted sum of instantaneous utilities. Such an optimality criterion implies that preferences ...
Trading constraints penalizing default: a recursive approach
(Elsevier Science Sa, 2008-01-20)
This paper proves existence of an ergodic Markov equilibrium for a class of general equilibrium economies with infinite horizon, incomplete markets, and default. Agents may choose to deny their liabilities and face trading ...
Aplicativo de projeto e análise de desempenho de controladores adaptativos por modelo de referência
(Universidade Federal de Santa MariaBrasilUFSMUFSM Cachoeira do Sul, 2018)
This work is motivated by the early advances in model reference adaptative design as well as its wide applicability. The subject "application for performance analysis", in the context of adaptive control, does not present ...