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Recursive extension of a multicommodity analysis

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  • Katsutoshi Wakai

    (Kyoto University, Yoshida-honmachi)

Abstract

This paper presents an axiomatic model of recursive preferences, which extends the multicommodity analysis of Kihlstrom and Mirman (J Econ Theory, 8(3): 361–388, 1974) to an infinite-horizon setting.

Suggested Citation

  • Katsutoshi Wakai, 2015. "Recursive extension of a multicommodity analysis," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 3(2), pages 271-285, October.
    • Handle: RePEc:spr:etbull:v:3:y:2015:i:2:d:10.1007_s40505-014-0058-0
    DOI: 10.1007/s40505-014-0058-0
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    References listed on IDEAS

    as
    1. Bommier, Antoine & Chassagnon, Arnold & Le Grand, François, 2012. "Comparative risk aversion: A formal approach with applications to saving behavior," Journal of Economic Theory, Elsevier, vol. 147(4), pages 1614-1641.
    2. Kihlstrom, Richard E. & Mirman, Leonard J., 1974. "Risk aversion with many commodities," Journal of Economic Theory, Elsevier, vol. 8(3), pages 361-388, July.
    3. Larry G. Epstein & Stanley E. Zin, 2013. "Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 12, pages 207-239, World Scientific Publishing Co. Pte. Ltd..
    4. Yaari, Menahem E., 1969. "Some remarks on measures of risk aversion and on their uses," Journal of Economic Theory, Elsevier, vol. 1(3), pages 315-329, October.
    5. Antoine Bommier & Francois Le Grand, "undated". "A Robust Approach to Risk Aversion," Working Papers ETH-RC-13-002, ETH Zurich, Chair of Systems Design.
    6. Chew, Soo Hong & Epstein, Larry G., 1990. "Nonexpected utility preferences in a temporal framework with an application to consumption-savings behaviour," Journal of Economic Theory, Elsevier, vol. 50(1), pages 54-81, February.
    7. Antoine Bommier & Arnold Chassagnon & François Le Grand, 2012. "Comparative risk aversion: A formal approach with applications to saving behavior," PSE-Ecole d'économie de Paris (Postprint) halshs-00754583, HAL.
    8. Antoine Bommier & Arnold Chassagnon & François Le Grand, 2012. "Comparative risk aversion: A formal approach with applications to saving behavior," Post-Print halshs-00754583, HAL.
    9. Takashi Hayashi, 2005. "Intertemporal substitution, risk aversion and ambiguity aversion," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 25(4), pages 933-956, June.
    10. Antoine Bommier & Arnold Chassagnon & François Le Grand, 2012. "Comparative risk aversion : A formal approach with applications to saving behavior," Post-Print hal-02312602, HAL.
    11. Kreps, David M & Porteus, Evan L, 1978. "Temporal Resolution of Uncertainty and Dynamic Choice Theory," Econometrica, Econometric Society, vol. 46(1), pages 185-200, January.
    12. repec:dau:papers:123456789/4434 is not listed on IDEAS
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    More about this item

    Keywords

    Intertemporal substitution; Recursive preferences; Risk aversion;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D90 - Microeconomics - - Micro-Based Behavioral Economics - - - General

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