کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5099270 1376996 2008 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asset prices with locally constrained-entropy recursive multiple-priors utility
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
Asset prices with locally constrained-entropy recursive multiple-priors utility
چکیده انگلیسی
Control problems with recursive multiple-priors utility (RMPU) are highly non-linear so that RMPU asset prices have been studied in very simple exchange economies only. We identify a continuous-time exchange equilibrium with locally-constrained entropy RMPU (LCE-RMPU) that is tractable even in the presence of a stochastic opportunity set and incomplete markets. We find that time variation in the LCE-based ambiguity set is able to capture important features of consumption and asset markets data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 32, Issue 11, November 2008, Pages 3695-3717
نویسندگان
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