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Can I read Efficient Consumption Set Under Recursive Utility and Unknown Beliefs on EtoBox?
Efficient Consumption Set Under Recursive Utility and Unknown Beliefs by Ali Lazrak; Fernando Zapatero is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Efficient Consumption Set Under Recursive Utility and Unknown Beliefs about?
In a context of complete financial markets where asset prices follow Itô's processes, we characterize the set of consumption processes which are optimal for a given stochastic differential utility (e.g. [Duffie and Epstein, Econometrica 60 (1992) 353]), when beliefs are unknown. Necessary and sufficient conditions for the efficiency of a consumption process, consists of the existence of a solution to a quadratic backward stochastic differential equation and a martingale condition. We study the efficiency condition in the case of a class of homothetic stochastic differential utilities and derive some results for those particular cases. In a Markovian context, this efficiency condition becomes a partial differential equation.
Who reads Efficient Consumption Set Under Recursive Utility and Unknown Beliefs?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Ali Lazrak; Fernando Zapatero
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0304-4068)
- Published
- 2004
- Language
- FR
- Field
- Economics, Econometrics and Finance (Social Sciences)