Non-Expected Utility in Macroeconomics

Philippe Weil

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Abstract: This paper introduces, within the context of an infinite optimal consumption problem, a parametric class of Kreps-Porteus nonexpected utility preferences--generalized isoelastic utility--which distinguishes attitudes toward risk from behavior toward intertemporal substitution. Some of the theoretical and empirical implications for macroeconomics of these state- and time-nonseparable preferences are examined. Copyright 1990, the President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Date: 1990-02
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Citations: View citations in EconPapers (192)

Published in Quarterly Journal of Economics, 1990, 105 (1), pp.29 - 42

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Journal Article: Nonexpected Utility in Macroeconomics (1990)
Working Paper: Non-Expected Utility in Macroeconomics (1990)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03393362

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