메뉴 건너뛰기




Volumn 25, Issue 2, 2003, Pages 129-139

Optimally eating a stochastic cake: A recursive utility approach

Author keywords

Non renewable resource; Recursive utility; Uncertainty

Indexed keywords

BROWNIAN MOVEMENT; COSTS; EXTRACTION; OPTIMIZATION; RANDOM PROCESSES; RECURSIVE FUNCTIONS;

EID: 0037616585     PISSN: 09287655     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0928-7655(02)00022-2     Document Type: Article
Times cited : (18)

References (31)
  • 2
    • 0002370823 scopus 로고
    • Managing investment opportunities under price uncertainty: From last chance to wait and see strategies
    • Bjerksund, P., & Ekern, S. (1990). Managing investment opportunities under price uncertainty: from last chance to wait and see strategies. Financial Management, 19 65-83.
    • (1990) Financial Management , vol.19 , pp. 65-83
    • Bjerksund, P.1    Ekern, S.2
  • 3
    • 0001603924 scopus 로고
    • Evaluating natural resource investments
    • Brennan, M., & Schwartz, E. (1985). Evaluating natural resource investments. Journal of Business, 58 137-157.
    • (1985) Journal of Business , vol.58 , pp. 137-157
    • Brennan, M.1    Schwartz, E.2
  • 4
    • 84959814963 scopus 로고
    • The optimal depletion of exhaustible resources
    • Dasgupta, P., & Heal, G. (1974). The optimal depletion of exhaustible resources. Review of Economics Studies, 41 3-28.
    • (1974) Review of Economics Studies , vol.41 , pp. 3-28
    • Dasgupta, P.1    Heal, G.2
  • 5
    • 0023792515 scopus 로고
    • An option pricing approach to evaluating petroleum projects
    • Ekern, S. (1988). An option pricing approach to evaluating petroleum projects. Energy Economics, 10 91-99.
    • (1988) Energy Economics , vol.10 , pp. 91-99
    • Ekern, S.1
  • 8
    • 0001035622 scopus 로고
    • Risk aversion and asset prices
    • Epstein, L. (1988). Risk aversion and asset prices. Journal of Monetary Economics, 22 177-192.
    • (1988) Journal of Monetary Economics , vol.22 , pp. 177-192
    • Epstein, L.1
  • 9
    • 0000842941 scopus 로고
    • Substitution risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework
    • Epstein, L., & Zin, S. (1989). Substitution risk aversion and the temporal behavior of consumption and asset returns: a theoretical framework. Econometrica, 57 937-969.
    • (1989) Econometrica , vol.57 , pp. 937-969
    • Epstein, L.1    Zin, S.2
  • 10
    • 84935429666 scopus 로고
    • Substitution risk aversion and the temporal behavior of consumption and asset returns
    • Epstein, L., & Zin, S. (1991). Substitution risk aversion and the temporal behavior of consumption and asset returns. Journal of Political Economy, 99(2), 263-268.
    • (1991) Journal of Political Economy , vol.99 , Issue.2 , pp. 263-268
    • Epstein, L.1    Zin, S.2
  • 11
    • 0038417524 scopus 로고
    • The evolution of natural resource prices under stochastic investment opportunities: An intertemporal asset-pricing approach
    • Gaudet, G., & Khadr, A. (1991). The evolution of natural resource prices under stochastic investment opportunities: an intertemporal asset-pricing approach. International Economic Review, 32(2), 441-455.
    • (1991) International Economic Review , vol.32 , Issue.2 , pp. 441-455
    • Gaudet, G.1    Khadr, A.2
  • 12
    • 84977738249 scopus 로고
    • Stochastic convenience yield and the pricing of all contingent claims
    • Gibson, R., & Schwartz, E. (1990). Stochastic convenience yield and the pricing of all contingent claims. Journal of Finance, 45 959-976.
    • (1990) Journal of Finance , vol.45 , pp. 959-976
    • Gibson, R.1    Schwartz, E.2
  • 13
    • 0002642402 scopus 로고
    • Optimal depletion of an uncertain stock
    • Gilbert, R. (1978). Optimal depletion of an uncertain stock. Review of Economic Studies, 46 45-57.
    • (1978) Review of Economic Studies , vol.46 , pp. 45-57
    • Gilbert, R.1
  • 15
    • 0030318911 scopus 로고    scopus 로고
    • Dynamic resource management: Intertemporal substitution and risk aversion
    • Knapp, K., & Olson, L. (1996). Dynamic resource management: intertemporal substitution and risk aversion. American Journal of Agricultural Economics, 78 1004-1114.
    • (1996) American Journal of Agricultural Economics , vol.78 , pp. 1004-1114
    • Knapp, K.1    Olson, L.2
  • 16
    • 0001072531 scopus 로고
    • Temporal resolution of uncertainty and dynamic choice theory
    • Kreps, D., & Porteus, E. (1978). Temporal resolution of uncertainty and dynamic choice theory. Econometrica, 46 185-200.
    • (1978) Econometrica , vol.46 , pp. 185-200
    • Kreps, D.1    Porteus, E.2
  • 17
    • 0001016042 scopus 로고
    • The optimal exploitation of an unknown reserve
    • Loury, G. (1978). The optimal exploitation of an unknown reserve. Review of Economic Studies, 45 621-636.
    • (1978) Review of Economic Studies , vol.45 , pp. 621-636
    • Loury, G.1
  • 18
    • 0026485344 scopus 로고
    • Petroleum taxation under uncertainty-Contingent claim analysis with an application to Norway
    • Lund, D. (1992). Petroleum taxation under uncertainty-contingent claim analysis with an application to Norway. Energy Economics, 14 23-31.
    • (1992) Energy Economics , vol.14 , pp. 23-31
    • Lund, D.1
  • 19
    • 38248999168 scopus 로고
    • The lognormal diffusion is hardly an equilibrium price process for exhaustible resources
    • Lund, D. (1993). The lognormal diffusion is hardly an equilibrium price process for exhaustible resources. Journal of Environmental Economics and Management, 25(3), 235-241.
    • (1993) Journal of Environmental Economics and Management , vol.25 , Issue.3 , pp. 235-241
    • Lund, D.1
  • 21
    • 0028560106 scopus 로고
    • Risk-taking, global diversification, and growth
    • Obstfeld, M. (1994a). Risk-taking, global diversification, and growth. American Economic Review, 84(5), 1310-1329.
    • (1994) American Economic Review , vol.84 , Issue.5 , pp. 1310-1329
    • Obstfeld, M.1
  • 22
    • 0001392746 scopus 로고
    • Evaluating risky consumption paths: The role of intertemporal substituability
    • Obstfeld, M. (1994b). Evaluating risky consumption paths: the role of intertemporal substituability. European Economic Review, 38 1471-1486.
    • (1994) European Economic Review , vol.38 , pp. 1471-1486
    • Obstfeld, M.1
  • 23
    • 0011500623 scopus 로고
    • Optimal shutdown decisions in resource extraction
    • Olsen, T. E., & et Stensland, G. (1988). Optimal shutdown decisions in resource extraction. Economics Letters, 26 215-218.
    • (1988) Economics Letters , vol.26 , pp. 215-218
    • Olsen, T.E.1    et Stensland, G.2
  • 24
    • 0019146732 scopus 로고
    • Uncertainty and exhaustible resource markets
    • Pindyck, R. S. (1980). Uncertainty and exhaustible resource markets. Journal of Political Economy, 88 1203-1225.
    • (1980) Journal of Political Economy , vol.88 , pp. 1203-1225
    • Pindyck, R.S.1
  • 25
    • 0009015553 scopus 로고
    • The optimal production of an exhaustible resource when price is exogenous and stochastic
    • Pindyck, R. S. (1981). The optimal production of an exhaustible resource when price is exogenous and stochastic. Scandinavian Journal of Economics, 83 277-288.
    • (1981) Scandinavian Journal of Economics , vol.83 , pp. 277-288
    • Pindyck, R.S.1
  • 26
    • 38249026771 scopus 로고
    • Grade selection under uncertainty: Least cost last and other anomalies
    • Slade, M. E. (1988). Grade selection under uncertainty: least cost last and other anomalies. Journal of Environmental Economics and Management, 15 189-205.
    • (1988) Journal of Environmental Economics and Management , vol.15 , pp. 189-205
    • Slade, M.E.1
  • 27
    • 0030273862 scopus 로고    scopus 로고
    • Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time
    • Smith, W. T. (1996). Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time. Economic Letters, 53 123-131.
    • (1996) Economic Letters , vol.53 , pp. 123-131
    • Smith, W.T.1
  • 28
    • 0033456497 scopus 로고    scopus 로고
    • Risk, the spirit of capitalism and growth: The implications of a preference for capital
    • Smith, W. T. (1999). Risk, the spirit of capitalism and growth: the implications of a preference for capital. Journal of Macroeconomics, 21(2), 241-262.
    • (1999) Journal of Macroeconomics , vol.21 , Issue.2 , pp. 241-262
    • Smith, W.T.1
  • 29
    • 0001926061 scopus 로고
    • Non-expected utility in macroeconomics
    • Weil, P. (1990). Non-expected utility in macroeconomics. Quaterly Journal of Economics, 105 27-42.
    • (1990) Quaterly Journal of Economics , vol.105 , pp. 27-42
    • Weil, P.1
  • 30
    • 0000963847 scopus 로고
    • Precautionary savings and the permanent income hypothesis
    • Weil, P. (1993). Precautionary savings and the permanent income hypothesis. Review of Economics Studies, 60 367-383.
    • (1993) Review of Economics Studies , vol.60 , pp. 367-383
    • Weil, P.1
  • 31
    • 0030252281 scopus 로고    scopus 로고
    • Empirical testing of a risk-adjusted hotelling model
    • Young, D., & Ryan, D. (1996). Empirical testing of a risk-adjusted hotelling model. Resource and Energy Economics, 18 265-289.
    • (1996) Resource and Energy Economics , vol.18 , pp. 265-289
    • Young, D.1    Ryan, D.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.