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Erscheinungsjahr: 
2011
Quellenangabe: 
[Journal:] Theoretical Economics [ISSN:] 1555-7561 [Volume:] 6 [Issue:] 3 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2011 [Pages:] 423-472
Verlag: 
The Econometric Society, New Haven, CT
Zusammenfassung: 
In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches: the second-order act approach à la Klibanoff, Marinacci, and Mukerji (2005) and the two-stage randomization approach à la Seo (2009). We characterize risk attitude and ambiguity attitude within these two approaches. We then discuss our model's application in asset pricing. Our recursive preference model nests some popular models in the literature as special cases.
Schlagwörter: 
Ambiguity
ambiguity aversion
risk aversion
intertemporal substitution
model uncertainty
recursive utility
dynamic consistency
JEL: 
D80
D81
D90
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