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SHIGETA Yuki
Department Tokyo Keizai University , Economics Position Associate Professor |
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| Language | English |
| Publication Date | 2020/08/14 |
| Type | Research paper (scientific journal) |
| Peer Review | Peer reviewed |
| Title | Gain/loss asymmetric stochastic differential utility |
| Contribution Type | Sole author |
| Journal | Journal of Economic Dynamics and Control |
| Journal Type | Another Country |
| Publisher | Elsevier |
| Volume, Issue, Page | 118,pp.103975 |
| Author and coauthor | Yuki Shigeta |
| Details | 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 |