Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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Publication:4733645
DOI10.2307/1913778zbMATH Open0683.90012OpenAlexW1574786337MaRDI QIDQ4733645FDOQ4733645
Authors: Larry G. Epstein, Stanley E. Zin 
Publication date: 1989
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/ead204ecf890ed4ebcb6e7a2babe781733c8fef3
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Cited In (only showing first 100 items - show all)
- Static and dynamic quantile preferences
- Maximum likelihood estimation of the nonlinear rational expectations asset pricing model
- Asset and commodity prices with multi-attribute durable goods
- Dynamic programming with value convexity
- Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time
- Is intertemporal choice theory testable?
- Ambiguity and endogenous discounting
- The pricing kernel puzzle: survey and outlook
- A consumption-investment problem modelled as a discounted Markov decision process
- Equilibrium asset and option pricing under jump diffusion
- Rational inattention and the dynamics of consumption and wealth in general equilibrium
- Continuous time one-dimensional asset-pricing models with analytic price-dividend functions
- The tradeoff between risk sharing and information production in financial markets
- Long-run heterogeneity in an exchange economy with fixed-mix traders
- Existence and uniqueness of recursive utilities without boundedness
- Intertemporal preference with loss aversion: consumption and risk-attitude
- Attitudes toward the timing of resolution of uncertainty and the existence of recursive utility
- Is mean-variance analysis applicable to hedge funds?
- Conditional decision processes with recursive function
- Conditional implicit mean and the law of iterated integrals
- Crash states and the equity premium: Solving one puzzle raises another
- The long and the short of the risk-return trade-off
- Ambiguous life expectancy and the demand for annuities
- Time-consistent equilibria in dynamic models with recursive payoffs and behavioral discounting
- Volatility risk and economic welfare
- Composite habits and international transmission of business cycles
- Further international evidence on durable consumption growth and long-run consumption risk
- A term structure model with preferences for the timing of resolution of uncertainty
- On the computation of detection error probabilities under normality assumptions
- Semiparametric estimation of latent variable asset pricing models
- Risk aversion heterogeneity and the investment-uncertainty relationship
- Business-cycle consumption risk and asset prices
- Analytic solving of asset pricing models: the by force of habit case
- Financial innovation and risk: the role of information
- Optimal Consumption‐Portfolio Policies With Habit Formation1
- Does income support increase abortions?
- Happiness maintenance and asset prices
- Consumption, asset returns and taxes in a nonexpected utility model
- Is Krebs-Porteus utility distinguishable from intertemporal expected utility?
- Capital risk and consumption puzzles: A pedagogical note
- Finite sample properties of test of Epstein-Zin asset pricing model
- Biconvergent stochastic dynamic programming, asymptotic impatience, and `average' growth
- Can social security be welfare improving when there is demographic uncertainty?
- Recursive utility and optimal growth under uncertainty
- Intertemporal utility smoothing under uncertainty
- Developments on Experimental Economics
- Coherence without additivity.
- Parameter-dependent stochastic optimal control in finite discrete time
- Nonrecursive separation of risk and time preferences
- On the arbitrage pricing theory
- The dynamics of risk-sensitive allocations
- Time-inconsistent life-cycle consumption and retirement choice with mortality risk
- Dynamic programming for non-additive stochastic objectives
- Recursive utility and optimal growth with bounded or unbounded returns
- Doubts or variability?
- On aggregation and representative agent equilibria
- Productivity shocks and capital flows
- Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities
- Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
- Consumption-portfolio optimization with recursive utility in incomplete markets
- A behavioral definition of unforeseen contingencies
- Numerical approach to asset pricing models with stochastic differential utility
- Pricing of the time-change risks
- State-Dependent Utility
- Indifference pricing of insurance-linked securities in a multi-period model
- Optimal risk transfer and investment policies based upon stochastic differential utilities
- Time to build and bond risk premia
- Time to build and bond risk premia
- The risk premium in New Keynesian DSGE models: the cost of inflation channel
- Price uncertainty and consumer welfare in an intertemporal setting
- Equilibrium equity price with optimal dividend policy
- Intertemporal substitution and equity premium
- Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions
- Optimal investment policy in the time consistent mean-variance formulation
- Calibrating the wealth effects of decoupled payments: does decreasing absolute risk aversion matter?
- General Pareto Optimal Allocations and Applications to Multi-Period Risks
- Intertemporal substitution and recursive smooth ambiguity preferences
- On the relation between robust and Bayesian decision making
- Incomplete market dynamics and cross-sectional distributions
- Examining macroeconomic models through the lens of asset pricing
- An estimation of economic models with recursive preferences
- Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available
- Risk premia in general equilibrium
- An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications
- Shock elasticities and impulse responses
- Recursive utility and the Ramsey problem
- An intertemporal consumption-leisure model with non-expected utility
- The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility
- Equilibrium stock return dynamics under alternative rules of learning about hidden states
- Strategic asset allocation in a continuous-time VAR model
- Measuring preferences over the temporal resolution of consumption uncertainty
- Hidden persistent disasters and asset prices
- The dynamic power law model
- Estimating asset pricing models with frictions
- Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice
- Robust comparative statics for the elasticity of intertemporal substitution
- A tale of two option markets: pricing kernels and volatility risk
- Balanced-growth-consistent recursive utility
- Increasing marginal impatience and intertemporal substitution
- Convex dynamic programming with (bounded) recursive utility
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