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シゲタ ユウキ
SHIGETA Yuki
重田 雄樹 所属 東京経済大学 経済学部 職種 准教授 |
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| 言語種別 | 英語 |
| 発行・発表の年月 | 2020/08/14 |
| 形態種別 | 研究論文（学術雑誌） |
| 査読 | 査読あり |
| 標題 | Gain/loss asymmetric stochastic differential utility |
| 執筆形態 | 単著 |
| 掲載誌名 | Journal of Economic Dynamics and Control |
| 掲載区分 | 国外 |
| 出版社・発行元 | Elsevier |
| 巻・号・頁 | 118,pp.103975 |
| 著者・共著者 | Yuki Shigeta |
| 概要 | This study examines a gain/loss asymmetric utility in continuous time in which the investor discounts their utility gain by more than the utility loss. By employing the theory of stochastic differential utility, the model allows an endogenously time-varying subjective discount rate. In addition, the model can express various forms of utility functions including a version of the Epstein–Zin utility. Under the model, even if the state variables do not have any jump in their paths, the optimal consumption/wealth ratio and portfolio weight can change non-smoothly.
Note:Open Access |
| DOI | 10.1016/j.jedc.2020.103975 |