Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171615
Authors: 
Bommier, Antoine
Le Grand, François
Year of Publication: 
2013
Series/Report no.: 
Economics Working Paper Series 13/172
Abstract: 
We investigate whether the set of Kreps and Porteus (1978) preferences include classes of preferences that are stationary, monotonic and well-ordered in terms of risk aversion. We prove that the class of preferences introduced by Hansen and Sargent (1995) in their robustness analysis is the only one that fulfills these properties. The paper therefore suggests a shift from the traditional approach to studying the role of risk aversion in recursive problems. We also provide applications, in which we discuss the impact of risk aversion on asset pricing and risk sharing.
Subjects: 
risk aversion
recursive utility
robustness
ordinal dominance
risk free rate
equity premium
risk sharing
JEL: 
E2
E43
E44
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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