Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39042 
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dc.contributor.authorKraft, Holgeren
dc.contributor.authorSeifried, Frank Thomasen
dc.date.accessioned2009-05-27-
dc.date.accessioned2010-08-19T12:32:15Z-
dc.date.available2010-08-19T12:32:15Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/39042-
dc.description.abstractThis paper relates recursive utility in continuous time to its discrete-time origins and provides a rigorous and intuitive alternative to a heuristic approach presented in [Duffie, Epstein 1992], who formally define recursive utility in continuous time via backward stochastic differential equations (stochastic differential utility). Furthermore, we show that the notion of Gâteaux differentiability of certainty equivalents used in their paper has to be replaced by a different concept. Our approach allows us to address the important issue of normalization of aggregators in non-Brownian settings. We show that normalization is always feasible if the certainty equivalent of the aggregator is of expected utility type. Conversely, we prove that in general Lévy frameworks this is essentially also necessary, i.e. aggregators that are not of expected utility type cannot be normalized in general. Besides, for these settings we clarify the relationship of our approach to stochastic differential utility and, finally, establish dynamic programming results.en
dc.language.isoengen
dc.publisher|aJohann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften |cFrankfurt a. M.en
dc.relation.ispartofseries|aWorking Paper Series: Finance & Accounting |x196en
dc.subject.jelD81en
dc.subject.jelD91en
dc.subject.jelC61en
dc.subject.ddc330en
dc.subject.keywordrecursive utilityen
dc.subject.keywordstochastic differential utilityen
dc.subject.keywordLévy frameworken
dc.subject.keywordcertainty equivalentsen
dc.subject.keywordnormalizationen
dc.subject.keyworddynamic programmingen
dc.subject.stwZeitpräferenzen
dc.subject.stwStochastischer Prozessen
dc.subject.stwErwartungsnutzenen
dc.subject.stwDynamische Optimierungen
dc.subject.stwTheorieen
dc.titleFoundations of continuous-time recrusive utility: Differentiability and normalization of certainty equivalents-
dc.typeWorking Paperen
dc.identifier.ppn600476995en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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