Optimal risk sharing and borrowing constraints in a continuous-time model with limited commitment

Borys Grochulski; Yuzhe Zhang

doi:10.1016/j.jet.2011.10.007

Optimal risk sharing and borrowing constraints in a continuous-time model with limited commitment

Journal of Economic Theory ◽

10.1016/j.jet.2011.10.007 ◽

2011 ◽

Vol 146 (6) ◽

pp. 2356-2388 ◽

Cited By ~ 17

Author(s):

Borys Grochulski ◽

Yuzhe Zhang

Keyword(s):

Continuous Time ◽

Risk Sharing ◽

Borrowing Constraints ◽

Limited Commitment ◽

Continuous Time Model ◽

Time Model ◽

Optimal Risk Sharing

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Stable coalitions in a continuous-time model of risk sharing

Mathematical Social Sciences ◽

10.1016/j.mathsocsci.2005.02.001 ◽

2005 ◽

Vol 50 (1) ◽

pp. 24-38 ◽

Cited By ~ 2

Author(s):

H. Chade ◽

B. Taub

Keyword(s):

Continuous Time ◽

Risk Sharing ◽

Continuous Time Model ◽

Time Model

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A Continuous-Time Model of Strategic Trading Under Asymmetric Information

SSRN Electronic Journal ◽

10.2139/ssrn.1108751 ◽

2008 ◽

Author(s):

Ming Guo ◽

Hui Ou-Yang

Keyword(s):

Asymmetric Information ◽

Continuous Time ◽

Continuous Time Model ◽

Time Model ◽

Strategic Trading

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Timing of Effort and Reward: Three-Sided Moral Hazard in a Continuous-Time Model

SSRN Electronic Journal ◽

10.2139/ssrn.891691 ◽

2010 ◽

Author(s):

Jun Yang

Keyword(s):

Moral Hazard ◽

Continuous Time ◽

Continuous Time Model ◽

Time Model

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A Support Price Theorem for the Continuous Time Model of Capital Accumulation

Econometrica ◽

10.2307/1912636 ◽

1982 ◽

Vol 50 (2) ◽

pp. 427 ◽

Cited By ~ 6

Author(s):

Shin-Ichi Takekuma

Keyword(s):

Continuous Time ◽

Capital Accumulation ◽

Continuous Time Model ◽

Time Model ◽

Support Price

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Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model

Journal of Financial Economics ◽

10.1016/0304-405x(75)90004-5 ◽

1975 ◽

Vol 2 (2) ◽

pp. 187-203 ◽

Cited By ~ 227

Author(s):

Scott F. Richard

Keyword(s):

Life Insurance ◽

Continuous Time ◽

Optimal Consumption ◽

Continuous Time Model ◽

Time Model

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CONTINUOUS-TIME MODEL IDENTIFICATION OF REAL-LIFE PROCESSES WITH THE CONTSID TOOLBOX

IFAC Proceedings Volumes ◽

10.3182/20020721-6-es-1901.01005 ◽

2002 ◽

Vol 35 (1) ◽

pp. 115-120

Author(s):

H. Gamier

Keyword(s):

Continuous Time ◽

Real Life ◽

Model Identification ◽

Continuous Time Model ◽

Time Model

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Integral-equation-based continuous-time model identification of a magnetostrictive actuator

IEE Proceedings - Control Theory and Applications ◽

10.1049/ip-cta:20040900 ◽

2005 ◽

Vol 152 (1) ◽

pp. 85-89 ◽

Cited By ~ 1

Author(s):

Z.Q. Song

Keyword(s):

Integral Equation ◽

Continuous Time ◽

Model Identification ◽

Continuous Time Model ◽

Time Model ◽

Magnetostrictive Actuator

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Time-Varying Polar Decomposition by Continuous-Time Model and Discrete-Time Algorithm of Zeroing Neural Network Using Zhang Time Discretization (ZTD)

10.1109/icicip53388.2021.9642222 ◽

2021 ◽

Author(s):

Zanyu Tang ◽

Liangjie Ming ◽

Yunong Zhang ◽

Runhao Shi

Keyword(s):

Neural Network ◽

Discrete Time ◽

Continuous Time ◽

Polar Decomposition ◽

Time Discretization ◽

Time Algorithm ◽

Time Varying ◽

Continuous Time Model ◽

Time Model

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A Parsimonious Continuous Time Model for Equity Returns

SSRN Electronic Journal ◽

10.2139/ssrn.391669 ◽

2003 ◽

Author(s):

Mascia Bedendo ◽

Stewart D. Hodges

Keyword(s):

Continuous Time ◽

Equity Returns ◽

Continuous Time Model ◽

Time Model

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Subspace based methods for continuous-time model identification of MIMO systems from filtered sampled data

2007 European Control Conference (ECC) ◽

10.23919/ecc.2007.7068600 ◽

2007 ◽

Cited By ~ 6

Author(s):

Guillaume Mercere ◽

Regis Ouvrard ◽

Marion Gilson ◽

Hugues Garnier

Keyword(s):

Continuous Time ◽

Mimo Systems ◽

Model Identification ◽

Sampled Data ◽

Continuous Time Model ◽

Time Model

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