Properties of bid and ask reservation prices in the rank-dependent expected utility model
Article Abstract:
A rank-dependent utility model is used to examined bid and ask spreads from market maker prices.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 2000
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An existence theorem of intertemporal recursive utility in the presence of Levy jumps
Article Abstract:
Backward stochastic equations are examined in the context of utility theory and Levy jumps.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 2000
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Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Levy jumps
Article Abstract:
An equilibrium asset pricing model is developed in a mixed Poisson-Brownian information framework. Solution for an optimal portfolio choice problem is derived using Euler equation.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 2006
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