Intertemporal substitution and recursive smooth ambiguity preferences

被引:47
作者
Hayashi, Takashi [1 ]
Miao, Jianjun [2 ,3 ]
机构
[1] Univ Texas Austin, Dept Econ, Austin, TX 78712 USA
[2] Boston Univ, Dept Econ, Boston, MA USA
[3] Zhejiang Univ, AFR, Hangzhou, Zhejiang, Peoples R China
关键词
Ambiguity; ambiguity aversion; risk aversion; intertemporal substitution; model uncertainty; recursive utility; dynamic consistency; RISK-AVERSION; TEMPORAL BEHAVIOR; EQUITY PREMIUM; DYNAMIC CHOICE; UTILITY; CONSUMPTION; UNCERTAINTY; BELIEFS; DEFINITION; PARADOX;
D O I
10.3982/TE843
中图分类号
F [经济];
学科分类号
02 ;
摘要
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 a la Klibanoff et al. (2005) and the two-stage randomization approach a 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.
引用
收藏
页码:423 / 472
页数:50
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