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A GENERALIZED STOCHASTIC DIFFERENTIAL UTILITY.
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- Author(s): Lazrak, Ali; Quenez, Marie Claire
- Source:
Mathematics of Operations Research. Feb2003, Vol. 28 Issue 1, p154. 27p. - Source:
- Additional Information
- Subject Terms:
- Abstract: This paper generalizes, in the setting of Brownian information, the Duffie-Epstein 319923 stochastic differential formulation of intertemporal recursive utility (SDU). We provide a utility functional of state-contingent consumption plans that exhibits a local dependency with respect to the utility intensity process (the integrand of the quadratic variation) and call it the generalized SDU. This mathematical generalization of the SDU permits, in fact, more flexibility in the separation between risk aversion and intertemporal substitution and allows to model asymmetry in risk aversion. We extensively use the backward stochastic differential equation theory to give sufficient conditions for comparative and absolute risk aversion behavior as well as aversion to specific directional risk. Additionally, we discuss whether our functional exhibits monotonicity to its information filtration argument. For purposes of illustration, we provide some applications to the consumption/portfolio strategy selection problem in a complete securities market. [ABSTRACT FROM AUTHOR]
- Abstract: Copyright of Mathematics of Operations Research is the property of INFORMS: Institute for Operations Research and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
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