A Revealed Preference Analysis of Asset Pricing Under Recursive Utility

Larry Epstein () and Angelo Melino ()

No 4524, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper considers a representative agent model of asset prices based on a recursive utility specification. A constant elasticity of intertemporal substitution is assumed but the risk-preference component of utility is restricted only by qualitative, nonparametric regularity conditions. The principal contribution is to determine the exhaustive implications of this semiparametric recursive utility model for the one-step ahead joint probability distribution for consumption growth and asset returns.

Date: 1993-11
Note: AP
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Journal Article: A Revealed Preference Analysis of Asset Pricing under Recursive Utility (1995)
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