Computational methods for production-based asset pricing models with recursive utility

DOI10.1515/snde-2017-0003OpenAlexW3125517117MaRDI QIDQ2699590

Howard Kung, Eric Mark Aldrich

Publication date: 19 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2017-0003

zbMATH Keywords

asset pricingrecursive utilityDSGE modelsnumerical dynamic programmingnonlinear solution methods

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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