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Recursive utility and preferences for information
12 references·16 citing·41 second hop
Recursive utility and preferences for information (1998)Recursive utility and preferences for inf…Behavior under risk: recent developments in theory and applications (2008)Behavior under risk: recent d…Optimal Consumption and Portfolio Selection with Stochastic Differential Utility (1999)Optimal Consumption and Portf…Stochastic Differential Utility (1992)Stochastic Differential Utili…Utility theory with uncertainty (1991)Utility theory with uncertain…Subjective expected utility with non-additive probabilities on finite state spaces (1990)Subjective expected utility w…Additive Representations of Preferences: A New Foundation of Decision Analysis (1988)Additive Representations of P…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…The Effect of the Timing of Consumption Decisions and the Resolution of Lotteries on the Choice of Lotteries (1972)The Effect of the Timing of C…Consumption decisions under uncertainty (1972)Consumption decisions under u…Utility Theory for Decision Making (1971)Utility Theory for Decision M…A Note on Uncertainty and Preferences in a Temporal Context (1969)A Note on Uncertainty and Pre…Stationary Ordinal Utility and Impatience (1960)Stationary Ordinal Utility an…Lifetime investment and consumption with recursive preferences and small transaction costs (2020)Lifetime investment and consu…Dynamic Quantile Models of Rational Behavior (2019)Dynamic Quantile Models of Ra…Consumption–investment optimization with Epstein–Zin utility in incomplete markets (2016)Consumption–investment optimi…Smooth Ambiguity Aversion toward Small Risks and Continuous-Time Recursive Utility (2013)Smooth Ambiguity Aversion tow…Consumption-portfolio optimization with recursive utility in incomplete markets (2012)Consumption-portfolio optimiz…VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2007)VALUATIONS AND DYNAMIC CONVEX…Dynamic Portfolio Choice and Risk Aversion (2006)Dynamic Portfolio Choice and …Dynamic Choice Under Ambiguity (2006)Dynamic Choice Under AmbiguitySubjective recursive expected utility (2005)Subjective recursive expected…Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income (2004)Lifetime consumption-portfoli…Intertemporal substitution, risk aversion and ambiguity aversion (2004)Intertemporal substitution, r…Robust control and recursive utility (2003)Robust control and recursive …Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences (2003)Optimal lifetime consumption-…A Generalized Stochastic Differential Utility (2003)A Generalized Stochastic Diff…Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Continuous‐Time Methods in Fi…Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods (1999)Global Diversification, Growt…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Brownian Motion and Stochastic Calculus (2007)Theory of Value (1959)Saving and Uncertainty: The Precautionary Demand for Saving (1968)THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)DO NATURAL DISASTERS PROMOTE LONG‐RUN GROWTH? 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this work references cited by second hop

References

  • 1971Utility Theory for Decision Making2,460 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1960Stationary Ordinal Utility and Impatience1,550 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 1972Consumption decisions under uncertainty583 cited
  • 1988Additive Representations of Preferences: A New Foundation of Decision Analysis333 cited
  • 1999Optimal Consumption and Portfolio Selection with Stochastic Differential Utility312 cited
  • 1991Utility theory with uncertainty130 cited
  • 1972The Effect of the Timing of Consumption Decisions and the Resolution of Lotteries on the Choice of Lotteries120 cited
  • 2008Behavior under risk: recent developments in theory and applications108 cited
  • 1969A Note on Uncertainty and Preferences in a Temporal Context98 cited
  • 1990Subjective expected utility with non-additive probabilities on finite state spaces92 cited

Cited by

  • 2000Continuous‐Time Methods in Finance: A Review and an Assessment199 cited
  • 2003Robust control and recursive utility139 cited
  • 2007VALUATIONS AND DYNAMIC CONVEX RISK MEASURES122 cited

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  • 2003Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences103 cited
  • 2003A Generalized Stochastic Differential Utility77 cited
  • 2012Consumption-portfolio optimization with recursive utility in incomplete markets72 cited
  • 2013Smooth Ambiguity Aversion toward Small Risks and Continuous-Time Recursive Utility71 cited
  • 2019Dynamic Quantile Models of Rational Behavior65 cited
  • 2004Intertemporal substitution, risk aversion and ambiguity aversion50 cited
  • 2004Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income48 cited
  • 2016Consumption–investment optimization with Epstein–Zin utility in incomplete markets47 cited
  • 2006Dynamic Portfolio Choice and Risk Aversion47 cited
  • 1999Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods45 cited
  • 2006Dynamic Choice Under Ambiguity29 cited
  • 2005Subjective recursive expected utility27 cited
  • 2020Lifetime investment and consumption with recursive preferences and small transaction costs25 cited