Intertemporal substitution, risk aversion and ambiguity aversion

Takashi Hayashi ()

Economic Theory, 2005, vol. 25, issue 4, 933-956

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. Copyright Springer-Verlag Berlin/Heidelberg 2005

Keywords: Generalized recursive multiple-priors utility; Risk aversion; Ambiguity aversion. (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (21)

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DOI: 10.1007/s00199-004-0508-2

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