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Fixed point for local contractions: applications to recursive utility
(Wiley-Blackwell, 2013-03)
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 ...
Ergodic Markov equilibrium with incomplete markets and short sales
(2013)
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. ...
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 ...
Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters
(Sociedade Brasileira de Econometria, 2016-03-10)
This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate ...
Estimating the elasticity of intertemporal substitution taking into account the precautionary savings motive
(Elsevier Science Bv, 2015-09)
This paper estimates the elasticity of intertemporal substitution for U.S. aggregate time series data, taking into account the precautionary savings motive. By making use of a recursive utility function, we estimate an ...