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

From MaRDI portal
Publication:4733645

DOI10.2307/1913778zbMath0683.90012OpenAlexW1574786337MaRDI QIDQ4733645

Stanley E. Zin, Larry G. Epstein

Publication date: 1989

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/ead204ecf890ed4ebcb6e7a2babe781733c8fef3




Related Items (only showing first 100 items - show all)

A term structure model with preferences for the timing of resolution of uncertaintyRisk-Averse Mitigation Decisions in an Unpredictable Climate System*WOULD THERE EVER BE CONSENSUS VALUE AND SOURCE OF THE EQUITY RISK PREMIUM? A REVIEW OF THE EXTANT LITERATUREOptimal risk transfer and investment policies based upon stochastic differential utilitiesRecursive utility and optimal growth with bounded or unbounded returnsA dynamic equilibrium model for U-shaped pricing kernelsNONHOMOTHETIC GROWTH MODELS FOR THE ENVIRONMENTAL KUZNETS CURVELIFE INSURANCE AND PENSION CONTRACTS II: THE LIFE CYCLE MODEL WITH RECURSIVE UTILITYDoubts or variability?Life-cycle asset allocation with annuity marketsAnalytic solving of asset pricing models: the by force of habit caseGeneralized aggregation of misspecified models: with an application to asset pricingGain/loss asymmetric stochastic differential utilityUtilitarianism, prioritarianism, and intergenerational equity: a cake eating modelA maximum principle for Markov regime-switching forward-backward stochastic differential games and applicationsDynamic programming with value convexityOn dynamic spectral risk measures, a limit theorem and optimal portfolio allocationForward Utility and Market Adjustments in Relative Investment-Consumption Games of Many PlayersSurvival in speculative marketsRecursive utility and parameter uncertaintyExchange rates dynamics with long-run risk and recursive preferencesTime-consistent equilibria in dynamic models with recursive payoffs and behavioral discountingQuasi-hyperbolic discounting under recursive utility and consumption-investment decisionsRobust comparative statics for the elasticity of intertemporal substitutionDEEP EQUILIBRIUM NETSValuation risk revaluedVALUATIONS AND DYNAMIC CONVEX RISK MEASURESForeseen risksCo-jumps and recursive preferences in portfolio choicesA new axiomatization of discounted expected utilityThe risk premium in New Keynesian DSGE models: the cost of inflation channelA simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problemsMonetary policy and long‐term interest ratesMarkov perfect equilibria in OLG models with risk sensitive agentsAmbiguity and endogenous discountingSchumpeterian competition in a Lucas economyTime-Inconsistent Recursive Stochastic Optimal Control ProblemsEfficient bond price approximations in non-linear equilibrium-based term structure modelsThe aggregation of preferences: Can we ignore the past?Historical simulation approach to the estimation of stochastic discount factor modelsFundamental Principles of Modeling in MacroeconomicsComputational methods for production-based asset pricing models with recursive utilityEQUILIBRIUM EQUITY PRICE WITH OPTIMAL DIVIDEND POLICYOptimal investment policy in the time consistent mean-variance formulationOptimal Consumption‐Portfolio Policies With Habit Formation1OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTYAnticipated backward SDEs with jumps and quadratic-exponential growth driversRecursive allocations and wealth distribution with multiple goods: Existence, survivorship, and dynamicsTesting identification strengthRecursive robust estimation and control without commitmentHierarchies of ambiguous beliefsSubjective probability over a subjective decision treeCoase meets Bellman: dynamic programming for production networksThe envelope theorem, Euler and Bellman equations, without differentiabilityEQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSIONPortfolio selection: a reviewSurvival with ambiguityLife insurance decisions under recursive utilityIntertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumpsPreferences with frames: A new utility specification that allows for the framing of risksRobust control and model misspecificationRobust portfolio rules and detection-error probabilities for a mean-reverting risk premiumON THE INTERGENERATIONAL SHARING OF COHORT-SPECIFIC SHOCKS ON PERMANENT INCOMEDOES NEAR‐RATIONALITY MATTER IN FIRST‐ORDER APPROXIMATE SOLUTIONS? A PERTURBATION APPROACHOn the effects of redistribution on growth and entrepreneurial risk-takingIncomplete market demand tests for Kreps-Porteus-Selden preferencesTime consistent policy of multi-period mean-varianceBusiness-cycle pattern of asset returns: a general equilibrium explanationState-Dependent UtilityOPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATIONUnnamed ItemTime to build and bond risk premiaTime to build and bond risk premiaThe ethics of intergenerational riskThe learning premiumFurther international evidence on durable consumption growth and long-run consumption riskCOMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIMEDynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion FunctionsA COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONSGeneral Pareto Optimal Allocations and Applications to Multi-Period RisksOptimal Portfolio Choice Based on α-MEU Under AmbiguityStructural asset pricing theory with waveletsOn the parabolic equation for portfolio problemsProbability weighting and default risk: a possible explanation for distressed stock puzzlesEliciting Risk Preferences and Elasticity of SubstitutionGeneralized entropy and model uncertaintyOptimal asymmetric sector-specific labour taxation in an overlapping generations modelRisk aversion heterogeneity and the investment-uncertainty relationshipDynamic programming for non-additive stochastic objectivesCOLLATERAL REQUIREMENTS AND ASSET PRICESMyopic loss aversion, reference point, and money illusionA diagnostic criterion for approximate factor structureCash flows risk, capital structure, and corporate bond yieldsRecursive utility, productive government expenditure and optimal fiscal policyOptimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.Personal finance and life insurance under separation of risk aversion and elasticity of substitutionThe long and the short of the risk-return trade-offA Class of Recursive Optimal Stopping Problems with Applications to Stock TradingTime-Varying Risk Aversion and Dynamic Portfolio AllocationConditional preference orders and their numerical representations




This page was built for publication: Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework