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A Robust Recursive Utility under Jump-Diffusion Information
http://hdl.handle.net/10441/296
http://hdl.handle.net/10441/296fdc531e6-5016-4049-a22f-a52faa4d16b8
名前 / ファイル | ライセンス | アクション |
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B9Kusuda200607.pdf (308.9 kB)
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Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2009-03-26 | |||||
タイトル | ||||||
タイトル | A Robust Recursive Utility under Jump-Diffusion Information | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | technical report | |||||
著者 |
Kusuda, Koji
× Kusuda, Koji |
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著者(ヨミ) | ||||||
姓名 | クスダ, コウジ | |||||
著者別名 | ||||||
姓名 | 楠田, 浩二 | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper generalizes the utility with a robust control criterion, developed by Hansen, Sargent, and Tallarini [14], Anderson, Hansen, and Sargent [2], and Skiadas [27], to a recursive one under non-Markovian jump-diffusion information, and presents the existence and uniqueness of the generalized utility under some regualrity condition by utilizing approaches of Skiadas [27] and Schroder and Skiadas [25]. This paper also shows that the generalized utility admits a normalized representation, where future utility enters the recursion through an aggregator, and examines the generalized utility’s basic properties including “ambiguity aversions.” JEL No. C62, D81, D91. |
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引用 | ||||||
内容記述タイプ | Other | |||||
内容記述 | CRR Working Paper, Series B, No. B-9, pp. 1-21 | |||||
書誌情報 |
CRR Working Paper, Series B 号 B-9, p. 1-21, 発行日 2006-07 |
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出版者 | ||||||
出版者 | Center for Risk Research (CRR), Shiga University | |||||
資源タイプ | ||||||
内容記述タイプ | Other | |||||
内容記述 | Technical Report |