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Intertemporal substitution, risk aversion and ambiguity aversion

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  • Takashi Hayashi

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    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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    Bibliographic 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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    Web page: http://link.springer.de/link/service/journals/00199/index.htm

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    Related research

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

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    Cited by:
    1. Robert Nau, 2011. "Risk, ambiguity, and state-preference theory," Economic Theory, Springer, vol. 48(2), pages 437-467, October.
    2. Johanna Etner & Meglena Jeleva & Jean-Marc Tallon, 2009. "Decision theory under uncertainty," Post-Print halshs-00429573, HAL.
    3. Haluk Ergin & Todd Sarver, 2012. "Hidden Actions and Preferences for Timing of Resolution of Uncertainty," Discussion Papers 1567, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    4. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2006. "Recursive Smooth Ambiguity Preferences," Carlo Alberto Notebooks 17, Collegio Carlo Alberto, revised 2008.

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