Intertemporal substitution, risk aversion and ambiguity aversion

Hayashi, T. (2005) Intertemporal substitution, risk aversion and ambiguity aversion. Economic Theory, 25(4), pp. 933-956. (doi:10.1007/s00199-004-0508-2)

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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.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Hayashi, Professor Takashi
Authors: Hayashi, T.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Economic Theory
Publisher:Springer
ISSN:0938-2259

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