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An infinite-horizon model of nonmonotone utility smoothing

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  • Wakai, Katsutoshi

Abstract

We provide an infinite-horizon model of nonmonotone intertemporal preferences that capture a strong dislike of volatility involved in a utility sequence. As an intermediate result, we also derive a nonmonotone version of multiple-priors utility.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 116 (2012)
Issue (Month): 2 ()
Pages: 170-173

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Handle: RePEc:eee:ecolet:v:116:y:2012:i:2:p:170-173

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Discount factor; Nonmonotone preferences; Utility smoothing;

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References

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  1. Gilboa, Itzhak, 1989. "Expectation and Variation in Multi-period Decisions," Econometrica, Econometric Society, vol. 57(5), pages 1153-69, September.
  2. Larry G. Epstein & Martin Schneider, 2001. "Recursive Multiple-Priors," RCER Working Papers 485, University of Rochester - Center for Economic Research (RCER).
  3. Katsutoshi Wakai, 2008. "A Model of Utility Smoothing," Econometrica, Econometric Society, vol. 76(1), pages 137-153, 01.
  4. Wakai, Katsutoshi, 2011. "Modeling nonmonotone preferences: The case of utility smoothing," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 213-226, March.
  5. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-87, May.
  6. Kareen Rozen, 2010. "Foundations of Intrinsic Habit Formation," Econometrica, Econometric Society, vol. 78(4), pages 1341-1373, 07.
  7. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
  8. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
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