Term structure of interest rates under recursive preferences in continuous time

DOI10.1007/S10690-009-9082-8zbMath1170.91494OpenAlexW2080824043MaRDI QIDQ842835

Hisashi Nakamura, Akihiko Takahashi, Keita Nakayama

Publication date: 25 September 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9082-8

zbMATH Keywords

term structure of interest ratescontinuous timerecursive preference

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (1)

Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS

Cites Work

• Recursive utility and preferences for information
• Optimal consumption and portfolio selection with stochastic differential utility
• A term structure model with preferences for the timing of resolution of uncertainty
• A Theory of the Term Structure of Interest Rates
• Stochastic Differential Utility
• Temporal Resolution of Uncertainty and Dynamic Choice Theory

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