タイトル(掲載誌)CRR Working Paper, Series B
一般注記type:Technical Report
This paper generalizes the utility with a robust control criterion, developedby Hansen, Sargent, and Tallarini [14], Anderson, Hansen, and Sargent [2],and Skiadas [27], to a recursive one under non-Markovian jump-diffusion information,and presents the existence and uniqueness of the generalized utility undersome regualrity condition by utilizing approaches of Skiadas [27] and Schroder andSkiadas [25]. This paper also shows that the generalized utility admits a normalizedrepresentation, where future utility enters the recursion through an aggregator, andexamines the generalized utility’s basic properties including “ambiguity aversions.”JEL No. C62, D81, D91.
identifier:CRR Working Paper, Series B, No. B-9, pp. 1-21
一次資料へのリンクURLhttps://shiga-u.repo.nii.ac.jp/?action=repository_action_common_download&item_id=9966&item_no=1&attribute_id=19&file_no=1
連携機関・データベース国立情報学研究所 : 学術機関リポジトリデータベース(IRDB)(機関リポジトリ)