Generalized stochastic differential utility and preference for information

• 成果类型: Article
• 署名作者: Lazrak, A
• 署名单位: University of British Columbia
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051604000000756
• 发表日期: 2004
• 页码: 2149-2175
• 关键词: ASSET RETURNS; temporal behavior; risk-aversion; EQUATIONS; substitution; uncertainty; consumption

摘要

This paper develops, in a Brownian information setting, an approach for analyzing the preference for information, a question that motivates the stochastic differential utility (SDU) due to Duffie and Epstein [Econometrica 60 (1992) 353-394]. For a class of backward stochastic differential equations (BSDEs) including the generalized SDU [Lazrak and Quenez Math. Oper Res. 28 (2003) 154-180], we formulate the information neutrality property as an invariance principle when the filtration is coarser (or finer) and characterize it. We also provide concrete examples of heterogeneity in information that illustrate explicitly the nonneutrality property for some GSDUs. Our results suggest that, within the GSDUs class of intertemporal utilities, risk aversion or ambiguity aversion are inflexibly linked to the preference for information.