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EnglishControl problems with Recursive Multiple-Priors Utility (RMPU) are higly non-linear so that RMPU asset prices have been studied in very simple exchange economies only. We identify a continuous-time exchange equilibrium with Locally-Constrained-Entropy RMPU (LCE-RMPU) that is tractable even in the presence of a stochastic opportunity set and incomplete markets. We find that time variation in the LCE-based ambiguity set is able to capture important features of consumption and asset markets data.
| Titolo: | Asset Prices with Locally-Constrained-Entropy Recursive Multiple Priors Utility |
| Autori: | |
| Data di pubblicazione: | 2008 |
| Rivista: | |
| Abstract: | Control problems with Recursive Multiple-Priors Utility (RMPU) are higly non-linear so that RMPU asset prices have been studied in very simple exchange economies only. We identify a continuous-time exchange equilibrium with Locally-Constrained-Entropy RMPU (LCE-RMPU) that is tractable even in the presence of a stochastic opportunity set and incomplete markets. We find that time variation in the LCE-based ambiguity set is able to capture important features of consumption and asset markets data. |
| Handle: | http://hdl.handle.net/11562/308917 |
| Appare nelle tipologie: | 01.01 Articolo in Rivista |
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