Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns I: A Theoretical Framework

Larry Epstein and Stanley Zin

Working Paper from Economics Department, Queen's University

Abstract: This paper investigates infinite horizon intertemporal utility functions which generalize the standard additive expected utility specification. Two classes of generalization are considered -- the first builds upon Kreps and Porteus (1978, 1979), while the second is a further generalization which embeds the non-expected utility theory of Dekel (1986) into a multiperiod framework. Each type of generalization permits intertemporal substitution and risk aversion to be disentangled. In the context of the representative agent model, each specification implies testable restrictions on the temporal behaviour of consumption and asset returns.

Pages: 54 pages
Date: 1987
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Citations: View citations in EconPapers (15)

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Related works:
Chapter: Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework (2013)
Journal Article: Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:699

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