메뉴 건너뛰기




Volumn 125, Issue 2, 2005, Pages 93-150

The dynamics of risk-sensitive allocations

Author keywords

Dynamics; Pareto optimal allocations; Risk sensitivity; Risk sharing

Indexed keywords


EID: 29544445435     PISSN: 00220531     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jet.2004.05.008     Document Type: Article
Times cited : (46)

References (36)
  • 1
    • 0001393537 scopus 로고    scopus 로고
    • Efficiency, equilibrium, and asset pricing with risk of default
    • F. Alvarez U.J. Jermann Efficiency, equilibrium, and asset pricing with risk of default Econometrica 68 2000 775-797
    • (2000) Econometrica , vol.68 , pp. 775-797
    • Alvarez, F.1    Jermann, U.J.2
  • 2
    • 0038440849 scopus 로고    scopus 로고
    • Uncertainty and the dynamics of pareto optimal allocations
    • Ph.D. Thesis, University of Chicago, Chicago, IL
    • E.W. Anderson, Uncertainty and the dynamics of pareto optimal allocations, Ph.D. Thesis, University of Chicago, Chicago, IL, 1998.
    • (1998)
    • Anderson, E.W.1
  • 3
    • 0003051154 scopus 로고
    • Efficiency and equality in a simple model of unemployment insurance
    • A. Atkeson R.E. Lucas Jr. Efficiency and equality in a simple model of unemployment insurance J. Econ. Theory 66 1 1995 64-88
    • (1995) J. Econ. Theory , vol.66 , Issue.1 , pp. 64-88
    • Atkeson, A.1    Lucas Jr., R.E.2
  • 4
    • 0030402913 scopus 로고    scopus 로고
    • Relative wave movements and the distribution of consumption
    • O.P. Attanasio S. Davis Relative wave movements and the distribution of consumption J. Polit. Economy 104 1996 1227-1262
    • (1996) J. Polit. Economy , vol.104 , pp. 1227-1262
    • Attanasio, O.P.1    Davis, S.2
  • 5
    • 38249027515 scopus 로고
    • The dynamics of efficient intertemporal allocations with many agents, recursive preferences and production
    • J. Benhabib S. Jafarey K. Nishimura The dynamics of efficient intertemporal allocations with many agents, recursive preferences and production, J. Econ. Theory 44 1988 301-320
    • (1988) J. Econ. Theory , vol.44 , pp. 301-320
    • Benhabib, J.1    Jafarey, S.2    Nishimura, K.3
  • 6
    • 44049113572 scopus 로고
    • Evolution and market behavior
    • L. Blume D. Easley Evolution and market behavior J. Econ. Theory 9 40 1992 9-40
    • (1992) J. Econ. Theory , vol.9 , Issue.40 , pp. 9-40
    • Blume, L.1    Easley, D.2
  • 7
    • 1642342450 scopus 로고    scopus 로고
    • Micro data and general equilibrium model
    • J. Taylor M. Woodford (Eds.) North-Holland Amsterdam
    • M. Browning L.P. Hansen J.J. Heckman Micro data and general equilibrium model in: J. Taylor M. Woodford (Eds.) Handbook of Macroeconomics 2000 North-Holland Amsterdam
    • (2000) Handbook of Macroeconomics
    • Browning, M.1    Hansen, L.P.2    Heckman, J.J.3
  • 8
    • 0000771587 scopus 로고
    • A simple test of consumption insurance
    • J.H. Cochrane A simple test of consumption insurance J. Polit. Economy 99 1991 957-976
    • (1991) J. Polit. Economy , vol.99 , pp. 957-976
    • Cochrane, J.H.1
  • 10
    • 0003954462 scopus 로고
    • Stochastic Processes
    • New York: Wiley
    • J. Doob Stochastic Processes 1953 Wiley New York
    • (1953)
    • Doob, J.1
  • 11
    • 0001143199 scopus 로고
    • Stochastic differential utility
    • D. Duffie L.G. Epstein Stochastic differential utility Econometrica 60 2 1992 353-394
    • (1992) Econometrica , vol.60 , Issue.2 , pp. 353-394
    • Duffie, D.1    Epstein, L.G.2
  • 12
    • 38149144529 scopus 로고
    • Efficient and equilibrium allocations with stochastic differential utility
    • D. Duffie P.-Y. Geoffard C. Skiadas Efficient and equilibrium allocations with stochastic differential utility J. Math. Econ. 23 1994 133-146
    • (1994) J. Math. Econ. , vol.23 , pp. 133-146
    • Duffie, D.1    Geoffard, P.-Y.2    Skiadas, C.3
  • 13
    • 0000205143 scopus 로고
    • Two-person dynamic equilibrium in the capital market
    • B. Dumas Two-person dynamic equilibrium in the capital market Rev. Finan. Stud. 2 1989 157-188
    • (1989) Rev. Finan. Stud. , vol.2 , pp. 157-188
    • Dumas, B.1
  • 14
    • 0013162787 scopus 로고    scopus 로고
    • Efficient intertemporal allocations with recursive utility
    • B. Dumas R. Uppal T. Wang Efficient intertemporal allocations with recursive utility J. Econ. Theory 99 2000 240-259
    • (2000) J. Econ. Theory , vol.99 , pp. 240-259
    • Dumas, B.1    Uppal, R.2    Wang, T.3
  • 15
    • 0039890025 scopus 로고    scopus 로고
    • Sharing ambiguity
    • L. Epstein Sharing ambiguity Amer. Econ. Rev. 91 2 2001 45-50
    • (2001) Amer. Econ. Rev. , vol.91 , Issue.2 , pp. 45-50
    • Epstein, L.1
  • 16
    • 0037405053 scopus 로고    scopus 로고
    • A two-person dynamic equilibrium under ambiguity
    • L. Epstein J. Miao A two-person dynamic equilibrium under ambiguity J. Econ. Dynam. Control 27 2003 1253-1288
    • (2003) J. Econ. Dynam. Control , vol.27 , pp. 1253-1288
    • Epstein, L.1    Miao, J.2
  • 17
    • 0001456397 scopus 로고
    • The global stability of efficient intertemporal allocations
    • L.G. Epstein The global stability of efficient intertemporal allocations Econometrica 55 1987 329-355
    • (1987) Econometrica , vol.55 , pp. 329-355
    • Epstein, L.G.1
  • 18
    • 0000842941 scopus 로고
    • Substitution, risk aversion, and the temporal behavior of consumption and asset returns
    • L.G. Epstein S.E. Zin Substitution, risk aversion, and the temporal behavior of consumption and asset returns a theoretical framework Econometrica 57 4 1989 937-969
    • (1989) Econometrica , vol.57 , Issue.4 , pp. 937-969
    • Epstein, L.G.1    Zin, S.E.2
  • 19
    • 0005783928 scopus 로고
    • Calculating asset prices in three exchange economies
    • Cambridge University Press Cambridge Fifth World Congress
    • L.P. Hansen Calculating asset prices in three exchange economies in: Advances in Econometrics, Fifth World Congress 1987 Cambridge University Press Cambridge
    • (1987) Advances in Econometrics
    • Hansen, L.P.1
  • 20
    • 0029304830 scopus 로고
    • Discounted linear exponential quadratic gaussian control
    • L.P. Hansen T.J. Sargent Discounted linear exponential quadratic gaussian control IEEE Trans. Automatic Control 40 5 1995 968-971
    • (1995) IEEE Trans. Automatic Control , vol.40 , Issue.5 , pp. 968-971
    • Hansen, L.P.1    Sargent, T.J.2
  • 21
    • 0003496383 scopus 로고    scopus 로고
    • Recursive linear models of dynamic economies
    • Manuscript
    • L.P. Hansen, T.J. Sargent, Recursive linear models of dynamic economies, Manuscript, 1997.
    • (1997)
    • Hansen, L.P.1    Sargent, T.J.2
  • 22
    • 0038182824 scopus 로고    scopus 로고
    • Robust control of forward-looking models
    • L.P. Hansen T.J. Sargent Robust control of forward-looking models J. Monet. Econ. 50 2003 581-604
    • (2003) J. Monet. Econ. , vol.50 , pp. 581-604
    • Hansen, L.P.1    Sargent, T.J.2
  • 24
  • 25
    • 58149212200 scopus 로고
    • The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices
    • J. Heaton D. Lucas The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices Carnegie-Rochester Conf. Ser. Public Pol. 42 1995 1-32
    • (1995) Carnegie-Rochester Conf. Ser. Public Pol. , vol.42 , pp. 1-32
    • Heaton, J.1    Lucas, D.2
  • 26
    • 0015615984 scopus 로고
    • Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
    • AC-18
    • D. Jacobson Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games IEEE Trans. Automatic Control AC-18 2 1973 124-131
    • (1973) IEEE Trans. Automatic Control , Issue.2 , pp. 124-131
    • Jacobson, D.1
  • 27
    • 0346382216 scopus 로고
    • Structure of Pareto optima when agents have stochastic recursive preferences
    • R. Kan Structure of Pareto optima when agents have stochastic recursive preferences J. Econ. Theory 66 2 1995 626-631
    • (1995) J. Econ. Theory , vol.66 , Issue.2 , pp. 626-631
    • Kan, R.1
  • 28
    • 0007978096 scopus 로고    scopus 로고
    • Heterogeneous agent economies with knightian uncertainty
    • Manuscript, University of Washington
    • W.-F. Liu, Heterogeneous agent economies with knightian uncertainty, Manuscript, University of Washington, 2002.
    • (2002)
    • Liu, W.-F.1
  • 29
  • 30
    • 0010162327 scopus 로고
    • Market equilibrium with heterogeneous recursive-utility-maximizing agents
    • C. Ma Market equilibrium with heterogeneous recursive-utility-maximizing agents J. Econ. Theory 3 2 1993 243-266
    • (1993) J. Econ. Theory , vol.3 , Issue.2 , pp. 243-266
    • Ma, C.1
  • 31
    • 0030521565 scopus 로고    scopus 로고
    • Dynamic programming for non-additive stochastic objectives
    • H. Ozaki P.A. Streufert Dynamic programming for non-additive stochastic objectives J. Math. Econ. 25 1996 391-442
    • (1996) J. Math. Econ. , vol.25 , pp. 391-442
    • Ozaki, H.1    Streufert, P.A.2
  • 32
    • 0000313616 scopus 로고
    • Computing multi-period, information-constrained optima
    • C. Phelan R.M. Townsend Computing multi-period information-constrained optima, Rev. Econ. Stud. 58 5 1991 853-881
    • (1991) Rev. Econ. Stud. , vol.58 , Issue.5 , pp. 853-881
    • Phelan, C.1    Townsend, R.M.2
  • 33
    • 0000994570 scopus 로고    scopus 로고
    • Do markets favor agents able to make accurate predictions?
    • A. Sandroni Do markets favor agents able to make accurate predictions? Econometrica 68 2000 1303-1341
    • (2000) Econometrica , vol.68 , pp. 1303-1341
    • Sandroni, A.1
  • 34
    • 0001968456 scopus 로고    scopus 로고
    • Optimal consumption and portfolio selection with stochastic differential utility
    • M. Schroder C. Skiadas Optimal consumption and portfolio selection with stochastic differential utility J. Econ. Theory 68 1999 68-126
    • (1999) J. Econ. Theory , vol.68 , pp. 68-126
    • Schroder, M.1    Skiadas, C.2
  • 36
    • 0042493164 scopus 로고    scopus 로고
    • Risk-sensitive real business cycles
    • T.D. Tallarini Jr. Risk-sensitive real business cycles J. Monet. Econom. 45 3 2000 507-532
    • (2000) J. Monet. Econom. , vol.45 , Issue.3 , pp. 507-532
    • Tallarini Jr., T.D.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.