A term structure model with preferences for the timing of resolution of uncertainty

DOI10.1007/BF01213440zbMath0872.90009OpenAlexW1978088854MaRDI QIDQ2365065

Mark Schroder, Costis Skiadas, J. Darrell Duffie

Publication date: 4 February 1997

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01213440

zbMATH Keywords

term structure of interest ratesimperfect informationstochastic differential utilitynon-additive recursive utility

Mathematics Subject Classification ID

Related Items (9)

Tempered stable structural model in pricing credit spread and credit default swap ⋮ Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS ⋮ Term structure of interest rates under recursive preferences in continuous time ⋮ Subjective recursive expected utility ⋮ Optimal consumption and portfolio selection with stochastic differential utility ⋮ Incomplete information equilibria: separation theorems and other myths ⋮ Attitudes toward the timing of resolution of uncertainty and the existence of recursive utility ⋮ Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. ⋮ FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK

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• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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