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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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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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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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