Time consistency, temporal resolution indifference, and the separation of time and risk

• 成果类型: Article
• 署名作者: Kubler, Felix; Selden, Larry; Wei, Xiao
• 署名单位: University of Zurich; Columbia University; Fudan University; Shanghai Institute of International Finance & Economics
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE5834
• 发表日期: 2026
• 关键词: equity premium; asset returns; long-run; preferences; consumption; uncertainty; savings; utility

摘要

For general choice spaces, standard dynamic preference models cannot simultaneously satisfy the properties of time consistency, the separation of time and risk preferences, and the ability to accommodate an indifference to the timing of when risk is resolved. In the context of a consumption-portfolio choice problem often underlying asset pricing and macro models, we derive necessary and sufficient conditions such that all three properties are satisfied. We also show that quantitatively reasonable deviations from our sufficient conditions can result in surprisingly small deviations from time consistency holding.