stochastic differential utility
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scholarly journals Robust consumption portfolio optimization with stochastic differential utility

Automatica ◽  
2021 ◽  
Vol 133 ◽  
pp. 109835
Author(s):  
Jiangyan Pu ◽  
Qi Zhang
Keyword(s):  
Portfolio Optimization ◽  
Stochastic Differential Utility ◽  
Differential Utility

scholarly journals Proper solutions for Epstein–Zin Stochastic Differential Utility

2021 ◽  
Author(s):  
Martin Herdegen ◽  
David Hobson ◽  
Joseph Jerome
Keyword(s):  
Stochastic Differential Utility ◽  
Differential Utility ◽  
Proper Solutions

scholarly journals Gain/loss asymmetric stochastic differential utility

2020 ◽  
Vol 118 ◽  
pp. 103975
Author(s):  
Yuki Shigeta
Keyword(s):  
Stochastic Differential Utility ◽  
Differential Utility ◽  
Gain Loss

A generalized stochastic differential utility driven by G-Brownian motion

2020 ◽  
Vol 14 (3) ◽  
pp. 547-576
Author(s):  
Qian Lin ◽  
Dejian Tian ◽  
Weidong Tian
Keyword(s):  
Brownian Motion ◽  
Stochastic Differential Utility ◽  
Differential Utility

scholarly journals Convex duality for Epstein-Zin stochastic differential utility

2018 ◽  
Vol 28 (4) ◽  
pp. 991-1019
Author(s):  
Anis Matoussi ◽  
Hao Xing
Keyword(s):  
Convex Duality ◽  
Stochastic Differential Utility ◽  
Differential Utility

scholarly journals Convex Duality for Stochastic Differential Utility

2016 ◽  
Author(s):  
Anis Matoussi ◽  
Hao Xing
Keyword(s):  
Convex Duality ◽  
Stochastic Differential Utility ◽  
Differential Utility

Optimistic about the future? How uncertainty and expectations about future consumption prospects affect optimal consumer behavior

2016 ◽  
Vol 16 (1) ◽  
Author(s):  
Johnson Kakeu ◽  
Sharri Byron
Keyword(s):  
Consumer Behavior ◽  
Growth Model ◽  
Continuous Time ◽  
Stochastic Growth ◽  
Stochastic Growth Model ◽  
Stochastic Differential Utility ◽  
The Future ◽  
Future Consumption ◽  
Differential Utility

AbstractThis paper analyzes a continuous time stochastic growth model with a Duffie and Epstein (Duffie, D., and L. Epstein. 1992. “Stochastic Differential Utility.”

scholarly journals Stochastic differential utility as the continuous-time limit of recursive utility

2014 ◽  
Vol 151 ◽  
pp. 528-550 ◽  
Author(s):  
Holger Kraft ◽  
Frank Thomas Seifried
Keyword(s):  
Continuous Time ◽  
Time Limit ◽  
Recursive Utility ◽  
Stochastic Differential Utility ◽  
Differential Utility
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