Now showing items 1-5 of 5

    • A consumption CAPM with a reference level 

      Garcia Junior, Renê
      2006-03-30
      We study an intertemporal asset pricing model in which a representative consumer maximizes expected utility derived from both the ratio of his consumption to some reference level and this level itself. If the reference ...
    • Dynamic hedging with stocastic differential utility 

      Bueno, Rodrigo de Losso da Silveira
      2003-05-22
      In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and we propose a particular utility transformation connecting both ...
    • Dynamic hedging with stochastic differential utility 

      Bueno, Rodrigo de Losso da Silveira
      2006-11-01
      In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and a new utility transformation which includes features from the two ...
    • Fixed point for local contractions: applications to recursive utility 

      Martins-da-Rocha, Victor Filipe; Vailakis, Yiannis
      2013-03
      The paper shows how fixed-point results for local contractions apply to the study of the existence and uniqueness of recursive utility functions defined on subsets of + and being continuous for a specific topology. Two ...