We consider a (not necessarily complete) continuous-time security market with semimartingale prices and general information filtration. In such a setting, we show that the first-order conditions for… (More)

This paper shows that a finite-horizon version of the robust control criterion appearing in recent papers by Hansen, Sargent, and their coauthors can be described as recursive utility, which in… (More)

We identify and analyze a class of economies with asymmetric information that we call quasi-complete. For quasi-complete economies we determine equilibrium trades, show that the set of fully… (More)

In a continuous-time setting with Brownian and Poissonian uncertainty, this paper formulates recursive utility under two smooth certainty equivalent (CE) types that have been proposed as… (More)

We analyze the lifetime consumption-portfolio problem in a competitive securities market with continuous price dynamics, possibly nontradeable income, and convex trading constraints. We de ne a class… (More)

This paper presents results on the existence and characterization of Pareto eflicient and of equilibrium allocations in a continuous-time setting under uncertainty in which agents have stochastic… (More)

We study marginal pricing and optimality conditions for an agent maximizing generalized recursive utility in a financial market with information generated by Brownian motion and marked point… (More)

“No-trade” theorems provide sufficient conditions for the absence of equilibrium trade between asymmetrically informed players.1 In this paper, we examine when trade is rationalizable. Since… (More)

This is a revised and extended version of Appendix A of Skiadas (2009), providing a self-contained overview of elements of convex optimization theory. The presentation is limited to the… (More)

An axiomatic characterization of recursive utility with source-dependent constant relative risk aversion (CRRA), constant elasticity of intertemporal substitution, constant rate of impatience and… (More)