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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
This paper develops a class of recursive, but not necessarily expected utility, preferences over intertemporal consumption lotteries. An important feature of these general preferences is that theyExpand
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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis
This paper investigates the testable restrictions on the time-series behavior of consumption and asset returns implied by a representative agent model in which intertemporal preferences areExpand
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Recursive multiple-priors
This paper axiomatizes an intertemporal version of multiple-ptiors utility. A central axiom is dynamic consistency, which leads to a recursive structure for utility, to 'rectangular' sets of priorsExpand
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Ambiguity, risk, and asset returns in continuous time
Models of utility in stochastic continuous-time settings typically assume that beliefs are represented by a probability measure, hence ruling out a priori any concern with ambiguity. This paperExpand
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Stochastic differential utility
A stochastic differential formulation of recursive utility is given sufficient conditions for existence, uniqueness, time consistency, monotonicity, continuity, risk aversion, concavity, and otherExpand
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Ambiguity, Information Quality and Asset Pricing
When ambiguity averse investors process news of uncertain quality, they act as if they take a worst-case assessment of quality. As a result, they react more strongly to bad news than to good news.Expand
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A definition of uncertainty aversion
A definition of uncertainty or ambiguity aversion is proposed. It is argued that the definition is well-suited to modelling within the Savage (as opposed to Anscombe and Aumann) domain of acts. TheExpand
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Asset Pricing with Stochastic Differential Utility
Asset pricing theory is presented with representative-agent utility given by a stochastic differential formulation of recursive utility. Asset returns are characterized from general first-orderExpand
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INTERTEMPORAL ASSET PRICING UNDER KNIGHTIAN UNCERTAINTY
In conformity with the Savage model of decision-making, modern asset pricing theory assumes that agents' beliefs about the likelihoods of future states of the world may be represented by aExpand
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A REVELATION PRINCIPLE FOR COMPETING MECHANISMS
In modelling competition among mechanism designers, it is necessary to specify the set of feasible mechanisms. These specifications are often borrowed from the optimal mechanism design literature andExpand
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