Intertemporal substitution and recursive smooth ambiguity preferences

DOI10.3982/TE843zbMath1278.91043MaRDI QIDQ3095016

Jianjun Miao, Takashi Hayashi

Publication date: 28 October 2011

Published in: Theoretical Economics (Search for Journal in Brave)

zbMATH Keywords

ambiguitymodel uncertaintyrisk aversionambiguity aversionrecursive utilityintertemporal substitutiondynamic consistency

Mathematics Subject Classification ID

Utility theory (91B16) Individual preferences (91B08)

Related Items (16)

Dynamic consistency, valuable information and subjective beliefs ⋮ Time-consistent proportional reinsurance and investment strategies under ambiguous environment ⋮ Smooth ambiguity preferences and asset prices with a jump-diffusion process ⋮ A theoretical foundation of ambiguity measurement ⋮ Robust comparative statics for the elasticity of intertemporal substitution ⋮ Risk, uncertainty, and option exercise ⋮ Ambiguity and the Bayesian Paradigm ⋮ Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility ⋮ Expected utility with uncertain probabilities theory ⋮ Decision making in phantom spaces ⋮ Robustness and ambiguity in continuous time ⋮ Optimal investment under ambiguous technology shocks ⋮ Introduction to the special issue in honor of Larry Epstein ⋮ Asset pricing under smooth ambiguity in continuous time ⋮ Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution ⋮ Ambiguity, asset prices, and excess volatility in a pure-exchange economy

This page was built for publication: Intertemporal substitution and recursive smooth ambiguity preferences