Portfolio Choice with Non-Expected Utility in Continuous Time
1988 (English)Report (Other academic)
Non-expected utility preferences, which can distinguish intertemporal substitution from attitudes towards risk, are extended to continuous time. The consumption/savings and portfolio problem is solved for constant intertemporal elasticity of substitution and constant relative risk aversion.
Place, publisher, year, edition, pages
Stockholm: IIES , 1988. , 8 p.
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 423
IdentifiersURN: urn:nbn:se:su:diva-41610OAI: oai:DiVA.org:su-41610DiVA: diva2:331584