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Showing 1 to 2 of 2 for “"recursive utility"”.
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Optimal Plan Design and Dynamic Asset Allocation of Defined Contribution Pension Plans: Lessons from Behavioural Finance and Non-expected Utility Theories
… theory. In this thesis two alternative utility forms are considered: loss aversion and Epstein-Zin recursive utility. We develop a dynamic-programming-based numerical model with uninsurable stochastic labour income and borrowing constraints. In the loss aversion case, members are assumed …
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Essays in Financial Economics
<p>The central puzzles in financial economics commonly include</p><p>violations of the expectations hypotheses, predictability of excess returns, and the levels and volatilities of nominal bond yields, in addition to well-known equity premium and the risk-free rate puzzles.</p><p>Equally surprising …