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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

- Larry G. Epstein, S. Zin
- Economics
- 1 July 1989

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 they… Expand

4,022 551- PDF

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis

- Larry G. Epstein, S. Zin
- Economics
- Journal of Political Economy
- 1 April 1991

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 are… Expand

1,909 242- PDF

Recursive multiple-priors

- Larry G. Epstein, M. Schneider
- Mathematics, Computer Science
- J. Econ. Theory
- 1 November 2003

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 priors… Expand

843 151- PDF

Ambiguity, risk, and asset returns in continuous time

- Z. Chen, Larry G. Epstein
- Economics
- 1 July 2002

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 paper… Expand

921 134- PDF

Stochastic differential utility

- D. Duffie, Larry G. Epstein
- Economics
- 1 March 1992

A stochastic differential formulation of recursive utility is given sufficient conditions for existence, uniqueness, time consistency, monotonicity, continuity, risk aversion, concavity, and other… Expand

922 125- PDF

Ambiguity, Information Quality and Asset Pricing

- Larry G. Epstein, M. Schneider
- Economics
- 1 February 2008

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

652 91- PDF

A definition of uncertainty aversion

- Larry G. Epstein
- Economics
- 1 July 1999

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. The… Expand

522 89- PDF

Asset Pricing with Stochastic Differential Utility

- D. Duffie, Larry G. Epstein
- Economics
- 1 July 1992

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-order… Expand

427 77

INTERTEMPORAL ASSET PRICING UNDER KNIGHTIAN UNCERTAINTY

- C. S. Hong, D. Duffie, +4 authors T. Wang
- 2007

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 a… Expand

528 62- PDF

A REVELATION PRINCIPLE FOR COMPETING MECHANISMS

- Larry G. Epstein, Michael Peters
- Mathematics
- 1 September 1999

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 and… Expand

179 36- PDF

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