Intertemporal substitution, risk aversion and ambiguity aversion
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.
Generalized recursive multiple-priors utility
scientific article; zbMATH DE number 5002846