Change search
ReferencesLink to record
Permanent link

Direct link
Portfolio Choice with Non-Expected Utility in Continuous Time
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1988 (English)Report (Other academic)
Abstract [en]

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
National Category
URN: urn:nbn:se:su:diva-41610OAI: diva2:331584
Available from: 2010-07-23 Created: 2010-07-23 Last updated: 2010-07-23Bibliographically approved

Open Access in DiVA

fulltext(923 kB)465 downloads
File information
File name FULLTEXT01.pdfFile size 923 kBChecksum SHA-512
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Svensson, Lars E.O.
By organisation
Institute for International Economic Studies

Search outside of DiVA

GoogleGoogle Scholar
Total: 465 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 35 hits
ReferencesLink to record
Permanent link

Direct link