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Non-Expected Utility in Macroeconomics

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  • Philippe Weil

    (OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po)

Abstract

This paper introduces, within the context of an infinite optimal consumption problem, a parametric class of Kreps-Porteus nonexpected utility preferences--generalized isoelastic utility--which distinguishes attitudes toward risk from behavior toward intertemporal substitution. Some of the theoretical and empirical implications for macroeconomics of these state- and time-nonseparable preferences are examined. Copyright 1990, the President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Suggested Citation

  • Philippe Weil, 1990. "Non-Expected Utility in Macroeconomics," Post-Print hal-03393362, HAL.
  • Handle: RePEc:hal:journl:hal-03393362
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