Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/171615 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Economics Working Paper Series No. 13/172
Verlag: 
ETH Zurich, CER-ETH - Center of Economic Research, Zurich
Zusammenfassung: 
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.
Schlagwörter: 
risk aversion
recursive utility
robustness
ordinal dominance
risk free rate
equity premium
risk sharing
JEL: 
E2
E43
E44
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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