Nonexpected Utility in Macroeconomics

Philippe Weil

The Quarterly Journal of Economics, 1990, vol. 105, issue 1, 29-42

Abstract: This paper introduces, within the context of an infinite horizon 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.

Date: 1990
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Working Paper: Non-Expected Utility in Macroeconomics (1990)
Working Paper: Non-Expected Utility in Macroeconomics (1990)
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