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Intertemporal substitution, risk aversion and ambiguity aversion

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Author Info
Takashi Hayashi ()
Abstract

This 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 [18]; and (ii) an intertemporal version of multiple-priors utility due to Epstein and Schneider [8]. 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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File URL: http://hdl.handle.net/10.1007/s00199-004-0508-2
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Publisher Info
Article provided by Springer in its journal Economic Theory.

Volume (Year): 25 (2005)
Issue (Month): 4 (06)
Pages: 933-956
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Handle: RePEc:spr:joecth:v:25:y:2005:i:4:p:933-956

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Related research
Keywords: Generalized recursive multiple-priors utility; Risk aversion; Ambiguity aversion.;

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  1. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2006. "Recursive Smooth Ambiguity Preferences," Carlo Alberto Notebooks 17, Collegio Carlo Alberto, revised 2008. [Downloadable!]
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