WEKO3
アイテム
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 |
|---|---|---|
B9Kusuda200607.pdf (308.9 kB)
|
|
| Item type | テクニカルレポート / Technical Report(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 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
|
|||||||
| 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. |
|||||||
| 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 |
|||||||
| 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 | |||||||
