Intertemporal substitution, risk aversion and ambiguity aversion
AbstractThis paper axiomatizes a form of recursive utility on consumption processes that permits a role for ambiguity as well as risk. The model has two prominent special cases: (i) the recursive model of risk preference due to Kreps and Porteus ; and (ii) an intertemporal version of multiple-priors utility due to Epstein and Schneider . The generalization presented here permits a three-way separation of intertemporal substitution, risk aversion and ambiguity aversion. Copyright Springer-Verlag Berlin/Heidelberg 2005
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Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 25 (2005)
Issue (Month): 4 (06)
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- Haluk Ergin & Todd Sarver, 2012.
"Hidden Actions and Preferences for Timing of Resolution of Uncertainty,"
1567, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Sarver, Todd & Ergin, Haluk, 0. "Hidden actions and preferences for timing of resolution of uncertainty," Theoretical Economics, Econometric Society.
- Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2006.
"Recursive Smooth Ambiguity Preferences,"
Carlo Alberto Notebooks
17, Collegio Carlo Alberto, revised 2008.
- Robert Nau, 2011. "Risk, ambiguity, and state-preference theory," Economic Theory, Springer, vol. 48(2), pages 437-467, October.
- repec:hal:journl:halshs-00429573 is not listed on IDEAS
- Katsutoshi Wakai, 2013. "Intertemporal utility smoothing under uncertainty," Theory and Decision, Springer, vol. 74(2), pages 285-310, February.
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