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
International audienceIn this article, we show how the degree of risk aversion, discounting, and pre...
In this article, we show how the degree of risk aversion, discounting, and preference for intertempo...
This paper investigates a novel behavioral feature exhibited by recursive preferences: aversion to r...
In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model th...
A fait l'objet d'une représentation au séminaire ........................................ Lyon 2016...
Intertemporal choices simultaneously activate discounting, risk aversion, and intertemporal substitu...
The objective of this note is to understand the implications for consumption and portfolio choice of...
The objective of this note is to understand the implications for consumption and portfolio choice of...
In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model th...
We address how recursive utility affects important results in the theory of economics of uncertainty...
We derive an inter-temporal theory of choice, in the spirit of Kreps and Porteus [Kreps, D.M., Porte...
This paper considers continuous time asset pricing models with stochastic dif-ferential utility inco...
International audienceIn this article, we show how the degree of risk aversion, discounting, and pre...
This Paper examines how aversion to risk and aversion to intertemporal substitution determines the s...
Restricted until 1 July 2010.Recursive utility functions control the investors relative risk aversio...
International audienceIn this article, we show how the degree of risk aversion, discounting, and pre...
In this article, we show how the degree of risk aversion, discounting, and preference for intertempo...
This paper investigates a novel behavioral feature exhibited by recursive preferences: aversion to r...
In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model th...
A fait l'objet d'une représentation au séminaire ........................................ Lyon 2016...
Intertemporal choices simultaneously activate discounting, risk aversion, and intertemporal substitu...
The objective of this note is to understand the implications for consumption and portfolio choice of...
The objective of this note is to understand the implications for consumption and portfolio choice of...
In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model th...
We address how recursive utility affects important results in the theory of economics of uncertainty...
We derive an inter-temporal theory of choice, in the spirit of Kreps and Porteus [Kreps, D.M., Porte...
This paper considers continuous time asset pricing models with stochastic dif-ferential utility inco...
International audienceIn this article, we show how the degree of risk aversion, discounting, and pre...
This Paper examines how aversion to risk and aversion to intertemporal substitution determines the s...
Restricted until 1 July 2010.Recursive utility functions control the investors relative risk aversio...
International audienceIn this article, we show how the degree of risk aversion, discounting, and pre...
In this article, we show how the degree of risk aversion, discounting, and preference for intertempo...
This paper investigates a novel behavioral feature exhibited by recursive preferences: aversion to r...
DOI
Add to ORKG