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- Title
Intertemporal substitution, risk aversion and ambiguity aversion.
- Authors
Hayashi, Takashi
- 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.
- Subjects
CONSUMPTION (Economics); RISK aversion; RECURSIVE functions; AMBIGUITY; RISK-taking behavior
- Publication
Economic Theory, 2005, Vol 25, Issue 4, p933
- ISSN
0938-2259
- Publication type
Article
- DOI
10.1007/s00199-004-0508-2