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ArticleAsset pricing with a forward–backward stochastic differential utility

Fabio Antonelli2001

Article2001

Asset pricing with a forward–backward stochastic differential utility

Fabio Antonelli · Emilio Barucci · Maria Elvira Mancino

30 citations·0/0 files stored·Economics Letters

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1985The equity premium: A puzzle 1993Dynamic Asset Pricing Theory.1990Habit Formation: A Resolution of the Equity Premium Puzzle 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1987Anticipation and the Valuation of Delayed Consumption 1985Disappointment in Decision Making Under Uncertainty 1986Disappointment and Dynamic Consistency in Choice under Uncertainty 1991Negative Time Preference

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2014Stochastic Maximum Principle for Controlled Backward Delayed System via Advanced Stochastic Differential Equation 2012Necessary Conditions for Optimal Control of Forward-Backward Stochastic Systems with Random Jumps

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Year2001

Typearticle

Published2001-08-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations30

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0165-1765(01)00432-3

openalex_workW2011914468

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