Intertemporal substitution, risk aversion and ambiguity aversion
type: Item
instance of: scholarly article
title: Intertemporal substitution, risk aversion and ambiguity aversion
zbMATH Open document ID: 1088.91024
author: Takashi Hayashi
published in: Economic Theory
publication date: 2006-01-31T00:00:00Z
review text: The generalized recursive multiple-priors utility is described by means of an axiomatic definition. The model allows for the separation of three properties of preference: intertemporal substitution, risk aversion and ambiguity aversion. Moreover, the introduced model is a generalization of: the recursive model of risk preference [\textit{D. M. Kreps, E. L. Porteus}, Econometrica 46, 185--200 (1978; Zbl 0382.90006)], and the intertemporal model of multiple-priors utility [\textit{L. G. Epstein, M. Schneider}, J. Econ. Theory 113, No.1, 1--31 (2003; Zbl 1107.91360)]. Proofs and technical arguments are collected in the appendix.
reviewed by: Krzysztof Piasecki
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5002846
zbMATH Keywords: Generalized recursive multiple-priors utility
MaRDI profile type: Publication
full work available at URL: s00199-004-0508-2
OpenAlex ID: W2057116139
DOI: 10.1007/S00199-004-0508-2
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description: scientific article; zbMATH DE number 5002846