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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