Artikel
Intertemporal substitution and recursive smooth ambiguity preferences
In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches: the second-order act approach à la Klibanoff, Marinacci, and Mukerji (2005) and the two-stage randomization approach à la Seo (2009). We characterize risk attitude and ambiguity attitude within these two approaches. We then discuss our model's application in asset pricing. Our recursive preference model nests some popular models in the literature as special cases.
- Language
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Englisch
- Bibliographic citation
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Journal: Theoretical Economics ; ISSN: 1555-7561 ; Volume: 6 ; Year: 2011 ; Issue: 3 ; Pages: 423-472 ; New Haven, CT: The Econometric Society
- Classification
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Wirtschaft
Information, Knowledge, and Uncertainty: General
Criteria for Decision-Making under Risk and Uncertainty
Micro-Based Behavioral Economics: General‡
- Subject
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Ambiguity
ambiguity aversion
risk aversion
intertemporal substitution
model uncertainty
recursive utility
dynamic consistency
- Event
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Geistige Schöpfung
- (who)
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Miao, Jianjun
Hayashi, Takashi
- Event
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Veröffentlichung
- (who)
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The Econometric Society
- (where)
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New Haven, CT
- (when)
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2011
- DOI
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doi:10.3982/TE843
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
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Object type
- Artikel
Associated
- Miao, Jianjun
- Hayashi, Takashi
- The Econometric Society
Time of origin
- 2011
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