Highly Influenced

# Smooth Ambiguity Aversion Toward Small Risks and Continuous-Time Recursive Utility

@inproceedings{Skiadas2008SmoothAA, title={Smooth Ambiguity Aversion Toward Small Risks and Continuous-Time Recursive Utility}, author={Costis Skiadas}, year={2008} }

- Published 2008

In a continuous-time setting with Brownian and Poissonian uncertainty, this paper formulates recursive utility under two smooth certainty equivalent (CE) types that have been proposed as representations of ambiguity aversion. For a smooth CE based on the formulation of Klibano¤, Marinacci, and Mukerji (Econometrica, 2005), it is argued that the corresponding continuous-time recursive utility reduces to Kreps-Porteus utility (Econometrica, 1978), that is, recursive utility with an expected… CONTINUE READING