Intertemporal substitution and nonhomothetic preferences
نویسندگان
چکیده
منابع مشابه
Intertemporal substitution and recursive smooth ambiguity preferences
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 et al. (2005) and the twostage randomization approach à la Seo (2009). We characterize risk attitude and ...
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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 ...
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2008
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2007.04.005