Intertemporal substitution and recursive smooth ambiguity preferences

• 成果类型: Article
• 署名作者: Hayashi, Takashi; Miao, Jianjun
• 署名单位: University of Texas System; University of Texas Austin; Boston University; Central University of Finance & Economics; Zhejiang University
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE843
• 发表日期: 2011-09-01
• 页码: 423-472
• 关键词: Ambiguity; ambiguity aversion; risk aversion; intertemporal substitution; model uncertainty; recursive utility; dynamic consistency

摘要

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 a la Klibanoff et al. (2005) and the two-stage randomization approach a 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.