## Search

Now showing items 1-9 of 9

#### What puzzles? : new insights in asset pricing

(Discussion paper;2012:13, Working paper, 2012-11)

Motivated by the problems of the conventional model in rationalizing
izing market data, we derive the equilibrium interest rate and risk premiums
using recursive utility in continuous time. In a representative-
agent ...

#### Recursive utility and disappearing puzzles for continuous-time models

(Discussion papers;2013/02, Working paper, 2013-05)

Motivated by the problems of the conventional model in rational-
izing market data, we derive the equilibrium interest rate and risk
premiums using recursive utility in a continuous time model. Two
ordinally equivalent ...

#### The Life Cycle Model with Recursive Utility: New insights on optimal consumption

(Discussion papers;19/14, Working paper, 2014-05)

We analyze optimal consumption, including pensions, during the life time of a consumer using the life cycle model, when the consumer has recursive utility. The model framework is that of continuous-time with diffusion ...

#### The equity premium in a production economy; A new perspective involving recursive utility

(Discussion paper;15/15, Working paper, 2015-04-10)

We study a rational expectations' competitive equilibrium in a
production economy, i.e., a system of prices at which firms' profit
maximizing production decisions and individuals' preferred affordable
consumption choices ...

#### Recursive utility and jump-diffusions

(Discussion paper;09/14, Working paper, 2014-03)

We derive the equilibrium interest rate and risk premiums using
recursive utility for jump-di usions. Compared to to the continuous
version, including jumps allows for a separate risk aversion related to
jump size risk ...

#### Heterogeniety and limited stock market participation

(Discussion paper;05/14, Working paper, 2014-02)

We derive the equilibrium interest rate and risk premiums using
recursive utility with heterogeneity in a continuous time model. Two
ordinally equivalent versions are considered, each associated with a
di erent set of ...

#### Recursive utility and the equity premium puzzle: A discrete-time approach

(Discussion papers;2013/03, Working paper, 2013-05)

We study the Epstein-Zin model with recursive utility. Recognizing that recursive preferences implies that the underlying model is not
Markovian, we use methods not depending upon the Markov property
to solve the model. ...

#### Recursive utility and jump-diffusions

(Discussion paper;06/15, Working paper, 2015-01-30)

We derive the equilibrium interest rate and risk premiums using
recursive utility for jump-diffusions. Compared to to the continuous
version, including jumps allows for a separate risk aversion related to
jump size risk ...

#### Recursive utility using the stochastic maximum principle

(Discussion paper;03/14, Working paper, 2014-02)

Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk
premiums using recursive utility in a continuous time model. We
consider ...