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Details about Larry Epstein

E-mail:
Homepage:http://people.bu.edu/lepstein/index.html
Phone:(617) 353-4142
Postal address:Department of Economics Boston University, 270 Bay State Road, Boston, MA 02215
Workplace:Department of Economics, Boston University, (more information at EDIRC)

Access statistics for papers by Larry Epstein.

Last updated 2019-04-10. Update your information in the RePEc Author Service.

Short-id: pep2


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Working Papers

2019

  1. Optimal Learning under Robustness and Time-Consistency
    Papers, arXiv.org Downloads View citations (3)

2018

  1. Ambiguous Correlation
    Microeconomics.ca working papers, Vancouver School of Economics Downloads
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2017) Downloads View citations (2)

2017

  1. No Two Experiments are Identical
    Microeconomics.ca working papers, Vancouver School of Economics Downloads View citations (4)

2015

  1. Robust Confidence Regions for Incomplete Models
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads View citations (1)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads

    See also Journal Article in Econometrica (2016)

2014

  1. How Much Would You Pay to Resolve Long-Run Risk?
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (45)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2013) Downloads View citations (1)
    2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (41)
    Working Paper, Harvard University OpenScholar Downloads
    NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (1)
    Working Paper, Harvard University OpenScholar Downloads
    Working Paper, Harvard University OpenScholar (2013) Downloads View citations (1)

    See also Journal Article in American Economic Review (2014)

2013

  1. Ambiguous Volatility, Possibility and Utility in Continuous Time
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in Journal of Mathematical Economics (2014)
  2. Ambiguous volatility and asset pricing in continuous time
    Papers, arXiv.org Downloads View citations (29)
    Also in CIRANO Working Papers, CIRANO (2012) Downloads View citations (1)

    See also Journal Article in Review of Financial Studies (2013)
  3. De Finetti Meets Ellsberg
    CIRANO Working Papers, CIRANO Downloads
    See also Journal Article in Research in Economics (2014)

2010

  1. Ambiguity and Asset Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (84)
    See also Journal Article in Annual Review of Financial Economics (2010)
  2. First order risk aversion and the equity premium puzzle
    Levine's Working Paper Archive, David K. Levine Downloads View citations (5)
    See also Journal Article in Journal of Monetary Economics (1990)

2008

  1. SYMMETRY OF EVIDENCE WITHOUT EVIDENCE OF SYMMETRY
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (1)
    See also Journal Article in Theoretical Economics (2010)
  2. Supplementary Appendix for ‘Non-Bayesian Updating: A Theoretical Framework’
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (6)

2007

  1. An axiomatic model of 'cold feet'
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) Downloads View citations (9)
  2. Coarse Contingencies
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (1)
    Also in RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2005) Downloads View citations (2)
  3. Living with risk
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) Downloads
    See also Journal Article in Review of Economic Studies (2008)

2006

  1. Cognitive Dissonance and Choice
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) Downloads View citations (7)
  2. Learning Under Ambiguity
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) Downloads View citations (23)
    Also in RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2005) Downloads View citations (5)

    See also Journal Article in Review of Economic Studies (2007)
  3. Mutual Absolute Continuity of Multiple Priors
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads
    See also Journal Article in Journal of Economic Theory (2007)

2005

  1. Ambiguity, Information Quality and Asset Pricing
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) Downloads View citations (24)
    Also in RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2004) Downloads View citations (1)

    See also Journal Article in Journal of Finance (2008)
  2. An Axiomatic Model of Non-Bayesian Updating
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) Downloads View citations (3)
    Also in RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2005) Downloads View citations (2)

    See also Journal Article in Review of Economic Studies (2006)
  3. NON-BAYESIAN UPDATING: A THEORETICAL FRAMEWORK
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (1)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (2)
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2003) Downloads
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2005) Downloads View citations (4)

    See also Journal Article in Theoretical Economics (2008)

2002

  1. IID: Independently and Indistinguishably Distributed
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) Downloads View citations (3)
    See also Journal Article in Journal of Economic Theory (2003)

2001

  1. A Two-Person Dynamic Equilibrium under Ambiguity
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) Downloads View citations (18)
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
  2. Recursive Multiple-Priors
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) Downloads View citations (40)
    See also Journal Article in Journal of Economic Theory (2003)

2000

  1. Ambiguity, risk and asset returns in continuous time
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) Downloads View citations (8)
    See also Journal Article in Econometrica (2002)
  2. The Core of Large TU Games
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) Downloads

1999

  1. Are Probabilities Used in Markets?
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) Downloads
    See also Journal Article in Journal of Economic Theory (2000)
  2. Subjective Probabilities on Subjectively Unambiguous Events
    Carleton Economic Papers, Carleton University, Department of Economics Downloads View citations (11)
    See also Journal Article in Econometrica (2001)

1998

  1. Subjective Probabilities on Subjectivity Unambiguous Event
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (33)

1997

  1. UNCERTAINTY AVERSION
    Working Papers, University of Toronto, Department of Economics Downloads View citations (3)

1996

  1. A REVELATION PRINCIPLE FOR COMPETING MECHANISMS
    Working Papers, University of Toronto, Department of Economics Downloads View citations (9)
    See also Journal Article in Journal of Economic Theory (1999)

1993

  1. A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Review of Economic Studies (1995)

1991

  1. The Independence Axiom and Asset Returns
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    See also Journal Article in Journal of Empirical Finance (2001)

1987

  1. Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns I: A Theoretical Framework
    Working Paper, Economics Department, Queen's University View citations (12)
    See also Journal Article in Econometrica (1989)
  2. Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns II: An Empirical Analysis
    Working Paper, Economics Department, Queen's University View citations (7)

1986

  1. A Correspondence Theorem Between Expected Utility and Smooth Utility
    Foerder Institute for Economic Research Working Papers, Tel-Aviv University > Foerder Institute for Economic Research Downloads
    See also Journal Article in Journal of Economic Theory (1988)

Journal Articles

2016

  1. Robust Confidence Regions for Incomplete Models
    Econometrica, 2016, 84, 1799-1838 Downloads View citations (1)
    See also Working Paper (2015)

2015

  1. Exchangeable capacities, parameters and incomplete theories
    Journal of Economic Theory, 2015, 157, (C), 879-917 Downloads View citations (5)

2014

  1. Ambiguous volatility, possibility and utility in continuous time
    Journal of Mathematical Economics, 2014, 50, (C), 269-282 Downloads View citations (16)
    See also Working Paper (2013)
  2. De Finetti meets Ellsberg
    Research in Economics, 2014, 68, (1), 11-26 Downloads
    See also Working Paper (2013)
  3. How Much Would You Pay to Resolve Long-Run Risk?
    American Economic Review, 2014, 104, (9), 2680-97 Downloads View citations (45)
    See also Working Paper (2014)

2013

  1. Ambiguous Volatility and Asset Pricing in Continuous Time
    Review of Financial Studies, 2013, 26, (7), 1740-1786 Downloads View citations (29)
    See also Working Paper (2013)

2011

  1. Symmetry or Dynamic Consistency?
    The B.E. Journal of Theoretical Economics, 2011, 11, (1), 1-14 Downloads View citations (4)

2010

  1. A Paradox for the “Smooth Ambiguity” Model of Preference
    Econometrica, 2010, 78, (6), 2085-2099 View citations (23)
  2. Ambiguity and Asset Markets
    Annual Review of Financial Economics, 2010, 2, (1), 315-346 Downloads View citations (81)
    See also Working Paper (2010)
  3. Non-Bayesian Learning
    The B.E. Journal of Theoretical Economics, 2010, 10, (1), 1-20 Downloads View citations (15)
  4. Symmetry of evidence without evidence of symmetry
    Theoretical Economics, 2010, 5, (3) Downloads View citations (15)
    See also Working Paper (2008)

2009

  1. Subjective states: A more robust model
    Games and Economic Behavior, 2009, 67, (2), 408-427 Downloads View citations (7)

2008

  1. Ambiguity, Information Quality, and Asset Pricing
    Journal of Finance, 2008, 63, (1), 197-228 Downloads View citations (141)
    See also Working Paper (2005)
  2. Living with Risk
    Review of Economic Studies, 2008, 75, (4), 1121-1141 Downloads View citations (18)
    See also Working Paper (2007)
  3. Non-Bayesian updating: A theoretical framework
    Theoretical Economics, 2008, 3, (2) Downloads View citations (16)
    See also Working Paper (2005)

2007

  1. Coarse contingencies and ambiguity
    Theoretical Economics, 2007, 2, (4) Downloads View citations (32)
  2. Cold feet
    Theoretical Economics, 2007, 2, (3) Downloads View citations (8)
  3. Learning Under Ambiguity
    Review of Economic Studies, 2007, 74, (4), 1275-1303 Downloads View citations (117)
    See also Working Paper (2006)
  4. Mutual absolute continuity of multiple priors
    Journal of Economic Theory, 2007, 137, (1), 716-720 Downloads View citations (14)
    See also Working Paper (2006)

2006

  1. An Axiomatic Model of Non-Bayesian Updating
    Review of Economic Studies, 2006, 73, (2), 413-436 Downloads View citations (32)
    See also Working Paper (2005)

2003

  1. A two-person dynamic equilibrium under ambiguity
    Journal of Economic Dynamics and Control, 2003, 27, (7), 1253-1288 Downloads View citations (106)
    See also Working Paper (2001)
  2. IID: independently and indistinguishably distributed
    Journal of Economic Theory, 2003, 113, (1), 32-50 Downloads View citations (14)
    See also Working Paper (2002)
  3. Recursive multiple-priors
    Journal of Economic Theory, 2003, 113, (1), 1-31 Downloads View citations (304)
    See also Working Paper (2001)

2002

  1. Ambiguity, Risk, and Asset Returns in Continuous Time
    Econometrica, 2002, 70, (4), 1403-1443 Downloads View citations (226)
    See also Working Paper (2000)

2001

  1. Sharing Ambiguity
    American Economic Review, 2001, 91, (2), 45-50 Downloads View citations (14)
  2. Subjective Probabilities on Subjectively Unambiguous Events
    Econometrica, 2001, 69, (2), 265-306 View citations (83)
    See also Working Paper (1999)
  3. The Core of Large Differentiable TU Games
    Journal of Economic Theory, 2001, 100, (2), 235-273 Downloads View citations (9)
  4. The independence axiom and asset returns
    Journal of Empirical Finance, 2001, 8, (5), 537-572 Downloads View citations (21)
    See also Working Paper (1991)

2000

  1. Are Probabilities Used in Markets ?
    Journal of Economic Theory, 2000, 91, (1), 86-90 Downloads View citations (10)
    See also Working Paper (1999)

1999

  1. A Definition of Uncertainty Aversion
    Review of Economic Studies, 1999, 66, (3), 579-608 Downloads View citations (187)
  2. A Revelation Principle for Competing Mechanisms
    Journal of Economic Theory, 1999, 88, (1), 119-160 Downloads View citations (96)
    See also Working Paper (1996)
  3. Least convex capacities
    Economic Theory, 1999, 13, (2), 263-286 Downloads View citations (3)

1997

  1. Preference, Rationalizability and Equilibrium
    Journal of Economic Theory, 1997, 73, (1), 1-29 Downloads View citations (39)

1996

  1. "Beliefs about Beliefs" without Probabilities
    Econometrica, 1996, 64, (6), 1343-73 Downloads View citations (30)

1995

  1. A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
    Review of Economic Studies, 1995, 62, (4), 597-618 Downloads View citations (7)
    See also Working Paper (1993)
  2. Uncertainty, Risk-Neutral Measures and Security Price Booms and Crashes
    Journal of Economic Theory, 1995, 67, (1), 40-82 Downloads View citations (35)

1994

  1. Intertemporal Asset Pricing Under Knightian Uncertainty
    Econometrica, 1994, 62, (2), 283-322 Downloads View citations (328)
  2. The Projective Independence Axiom
    Economic Theory, 1994, 4, (2), 189-215 View citations (4)

1993

  1. A Unifying Approach to Axiomatic Non-expected Utility Theories: Correction and Comment
    Journal of Economic Theory, 1993, 59, (1), 183-188 Downloads View citations (13)
  2. Dynamically Consistent Beliefs Must Be Bayesian
    Journal of Economic Theory, 1993, 61, (1), 1-22 Downloads View citations (83)
  3. Habits and Time Preference
    International Economic Review, 1993, 34, (1), 61-84 Downloads View citations (41)

1992

  1. Asset Pricing with Stochastic Differential Utility
    Review of Financial Studies, 1992, 5, (3), 411-36 Downloads View citations (202)
  2. Quadratic Social Welfare Functions
    Journal of Political Economy, 1992, 100, (4), 691-712 Downloads View citations (72)
  3. Stochastic Differential Utility
    Econometrica, 1992, 60, (2), 353-94 Downloads View citations (168)

1991

  1. Mixture Symmetry and Quadratic Utility
    Econometrica, 1991, 59, (1), 139-63 Downloads View citations (53)
  2. Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis
    Journal of Political Economy, 1991, 99, (2), 263-86 Downloads View citations (593)

1990

  1. 'First-order' risk aversion and the equity premium puzzle
    Journal of Monetary Economics, 1990, 26, (3), 387-407 Downloads View citations (96)
    See also Working Paper (2010)
  2. Nonexpected utility preferences in a temporal framework with an application to consumption-savings behaviour
    Journal of Economic Theory, 1990, 50, (1), 54-81 Downloads View citations (20)

1989

  1. A unifying approach to axiomatic non-expected utility theories
    Journal of Economic Theory, 1989, 49, (2), 207-240 Downloads View citations (36)
  2. Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
    Econometrica, 1989, 57, (4), 937-69 Downloads View citations (1457)
    See also Working Paper (1987)
  3. The Structure of Preferences and Attitudes towards the Timing of the Resolution of Uncertainty
    International Economic Review, 1989, 30, (1), 103-17 Downloads View citations (19)

1988

  1. A correspondence theorem between expected utility and smooth utility
    Journal of Economic Theory, 1988, 46, (1), 186-193 Downloads View citations (5)
    See also Working Paper (1986)
  2. Risk aversion and asset prices
    Journal of Monetary Economics, 1988, 22, (2), 179-192 Downloads View citations (34)
  3. The Law of Large Numbers and the Attractiveness of Compound Gambles
    Journal of Risk and Uncertainty, 1988, 1, (1), 125-32

1987

  1. A simple dynamic general equilibrium model
    Journal of Economic Theory, 1987, 41, (1), 68-95 Downloads View citations (124)
  2. The Global Stability of Efficient Intertemporal Allocations
    Econometrica, 1987, 55, (2), 329-55 Downloads View citations (41)
  3. The Unimportance of the Intransitivity of Separable Preferences
    International Economic Review, 1987, 28, (2), 315-22 Downloads View citations (3)

1986

  1. Implicitly additive utility and the nature of optimal economic growth
    Journal of Mathematical Economics, 1986, 15, (2), 111-128 Downloads View citations (5)
  2. Intergenerational consumption rules: An axiomatization of utilitarianism and egalitarianism
    Journal of Economic Theory, 1986, 38, (2), 280-297 Downloads View citations (5)

1985

  1. Decreasing Risk Aversion and Mean-Variance Analysis
    Econometrica, 1985, 53, (4), 945-61 Downloads View citations (19)
  2. Non-parametric hypothesis testing procedures and applications to demand analysis
    Journal of Econometrics, 1985, 30, (1-2), 149-169 Downloads View citations (22)
  3. The empirical determination of technology and expectations: A simplified procedure
    Journal of Econometrics, 1985, 27, (2), 235-258 Downloads View citations (27)

1983

  1. Decreasing absolute risk aversion and utility indices derived from cake-eating problems
    Journal of Economic Theory, 1983, 29, (2), 245-264 Downloads View citations (5)
  2. Intertemporal price indices for the firm
    Journal of Economic Dynamics and Control, 1983, 6, (1), 109-126 Downloads
  3. Stationary cardinal utility and optimal growth under uncertainty
    Journal of Economic Theory, 1983, 31, (1), 133-152 Downloads View citations (81)
  4. The Multivariate Flexible Accelerator Model: Its Empirical Restrictions and an Application to U.S. Manufacturing
    Econometrica, 1983, 51, (3), 647-74 Downloads View citations (68)
  5. The Rate of Time Preference and Dynamic Economic Analysis
    Journal of Political Economy, 1983, 91, (4), 611-35 Downloads View citations (116)

1982

  1. Comparative dynamics in the adjustment-cost model of the firm
    Journal of Economic Theory, 1982, 27, (1), 77-100 Downloads View citations (4)
  2. Integrability of Incomplete Systems of Demand Functions
    Review of Economic Studies, 1982, 49, (3), 411-425 Downloads View citations (20)

1981

  1. Duality Theory and Functional Forms for Dynamic Factor Demands
    Review of Economic Studies, 1981, 48, (1), 81-95 Downloads View citations (71)
  2. Generalized Duality and Integrability
    Econometrica, 1981, 49, (3), 655-78 Downloads View citations (10)

1980

  1. Capital Asset Prices and the Temporal Resolution of Uncertainty
    Journal of Finance, 1980, 35, (3), 627-43 Downloads View citations (10)
  2. Decision Making and the Temporal Resolution of Uncertainty
    International Economic Review, 1980, 21, (2), 269-83 Downloads View citations (82)
  3. Endogenous capital utilization in a short-run production model: Theory and an empiral application
    Journal of Econometrics, 1980, 12, (2), 189-207 Downloads View citations (51)
  4. Increasing Generalized Correlation: A Definition and Some Economic Consequences
    Canadian Journal of Economics, 1980, 13, (1), 16-34 Downloads View citations (83)
  5. Multivariate Risk Independence and Functional Forms for Preferences and Technologies
    Econometrica, 1980, 48, (4), 973-85 Downloads View citations (1)
  6. On the recoverability of intertemporal preferences
    Economics Letters, 1980, 5, (1), 11-14 Downloads

1978

  1. Production Flexibility and the Behaviour of the Competitive Firm under Price Uncertainty
    Review of Economic Studies, 1978, 45, (2), 251-261 Downloads View citations (6)
  2. The Le Chatelier Principle in optimal control problems
    Journal of Economic Theory, 1978, 19, (1), 103-122 Downloads View citations (6)

1975

  1. A Disaggregate Analysis of Consumer Choice under Uncertainty
    Econometrica, 1975, 43, (5-6), 877-92 Downloads View citations (15)

1974

  1. Some Economic Effects of Immigration: A General Equilibrium Analysis
    Canadian Journal of Economics, 1974, 7, (2), 174-90 Downloads View citations (2)
 
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