Intertemporal substitution, risk aversion and ambiguity aversion
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 ; 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
Volume (Year): 25 (2005)
Issue (Month): 4 (06)
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