Artikel
Recursive utility using the stochastic maximum principle
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 use the stochastic maximum principle to analyze the model. This method uses forward/backward stochastic differential equations, and works when the economy is not Markovian, which can be the case with recursive utility. With existence granted, the wealth portfolio is characterized in equilibrium in terms of utility and aggregate consumption. The equilibrium real interest rate is derived, and the resulting model is shown to be consistent with rea- sonable values of the parameters of the utility function when calibrated to market data, under various assumptions.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 7 ; Year: 2016 ; Issue: 3 ; Pages: 859-887 ; New Haven, CT: The Econometric Society
- Klassifikation
-
Wirtschaft
Exchange and Production Economies
General Equilibrium and Disequilibrium: Financial Markets
Micro-Based Behavioral Economics: General‡
Macroeconomics: Consumption; Saving; Wealth
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
The equity premium puzzle
recursive utility
the stochastic maximum principle
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Aase, Knut K.
- Ereignis
-
Veröffentlichung
- (wer)
-
The Econometric Society
- (wo)
-
New Haven, CT
- (wann)
-
2016
- DOI
-
doi:10.3982/QE473
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Aase, Knut K.
- The Econometric Society
Entstanden
- 2016
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