Intertemporal substitution and recursive smooth ambiguity preferences
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Publication:3095016
DOI10.3982/TE843zbMATH Open1278.91043MaRDI QIDQ3095016FDOQ3095016
Authors: Takashi Hayashi, Jianjun Miao 
Publication date: 28 October 2011
Published in: Theoretical Economics (Search for Journal in Brave)
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Cited In (22)
- Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
- A theoretical foundation of ambiguity measurement
- Intertemporal substitution, risk aversion and ambiguity aversion
- Time-consistent proportional reinsurance and investment strategies under ambiguous environment
- Recursive smooth ambiguity preferences
- Asset pricing under smooth ambiguity in continuous time
- Decision making in phantom spaces
- Risk, uncertainty, and option exercise
- Ambiguity, asset prices, and excess volatility in a pure-exchange economy
- Dynamic consistency, valuable information and subjective beliefs
- Robustness and ambiguity in continuous time
- Ambiguity and the Bayesian Paradigm
- Robust comparative statics for the elasticity of intertemporal substitution
- Optimal consumption choice with intertemporal substitution
- Optimal investment under ambiguous technology shocks
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- Intertemporal utility smoothing under uncertainty
- Subvaluationism and classical recapture
- Introduction to the special issue in honor of Larry Epstein
- Expected utility with uncertain probabilities theory
- Smooth ambiguity preferences and asset prices with a jump-diffusion process
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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