Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/150160
Authors: 
Miao, Jianjun
Hayashi, Takashi
Year of Publication: 
2011
Citation: 
[Journal:] Theoretical Economics [ISSN:] 1555-7561 [Volume:] 6 [Year:] 2011 [Issue:] 3 [Pages:] 423-472
Abstract: 
In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches: the second-order act approach à la Klibanoff, Marinacci, and Mukerji (2005) and the two-stage randomization approach à la Seo (2009). We characterize risk attitude and ambiguity attitude within these two approaches. We then discuss our model's application in asset pricing. Our recursive preference model nests some popular models in the literature as special cases.
Subjects: 
Ambiguity
ambiguity aversion
risk aversion
intertemporal substitution
model uncertainty
recursive utility
dynamic consistency
JEL: 
D80
D81
D90
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Article

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