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)
- A new axiomatization of discounted expected utility
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
- Stochastic differential utility as the continuous-time limit of recursive utility
- Why uncertainty matters: discounting under intertemporal risk aversion and ambiguity
- Small noise methods for risk-sensitive/robust economies
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- Monetary policy and long‐term interest rates
- Market equilibrium with heterogeneous recursive-utility-maximizing agents
- Comparative risk aversion: a formal approach with applications to saving behavior
- Empirical asset pricing with multi-period disaster risk: a simulation-based approach
- Conditional preference orders and their numerical representations
- Recursive robust estimation and control without commitment
- Intertemporal substitution, risk aversion and ambiguity aversion
- Stochastic dynamic utilities and intertemporal preferences
- Induced uncertainty, market price of risk, and the dynamics of consumption and wealth
- Recursive smooth ambiguity preferences
- Anticipated backward SDEs with jumps and quadratic-exponential growth drivers
- Subjective random discounting and intertemporal choice
- The ostrich effect: Selective attention to information
- Equilibrium consumption and precautionary savings in a stochastically growing economy
- Recursive multiple-priors.
- On the parabolic equation for portfolio problems
- The skewness risk premium in equilibrium and stock return predictability
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
- Nonexpected utility preferences in a temporal framework with an application to consumption-savings behaviour
- Asset pricing and the role of macroeconomic volatility
- Exchange rates dynamics with long-run risk and recursive preferences
- A measure of the sensitivity of saving to interest rate uncertainty with non-expected preferences
- Collateral requirements and asset prices
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Ambiguity aversion in the long run: ``to disagree, we must also agree
- Optimal consumption and savings with stochastic income and recursive utility
- Generalized stochastic differential utility and preference for information
- Unique solutions for stochastic recursive utilities
- Optimal consumption and portfolio selection with stochastic differential utility
- Rational asset pricing bubbles and debt constraints
- Violations of the betweenness axiom and nonlinearity in probability
- Asset pricing with incomplete information and fat tails
- Risk aversion and the elasticity of substitution in general dynamic portfolio theory: consistent planning by forward looking, expected utility maximizing investors
- Stochastic optimal growth model with risk sensitive preferences
- Lifetime investment and consumption using a defined-contribution pension scheme
- Life-cycle stock market participation in taxable and tax-deferred accounts
- Asset demands and consumption with longevity risk
- Preferences over location-scale family
- Numerical solution of dynamic quantile models
- Market equilibria under procedural rationality
- Loss aversion, survival and asset prices
- Hierarchies of ambiguous beliefs
- Estimating robustness
- Optimal Portfolio Choice Based on α-MEU Under Ambiguity
- Subjective probability over a subjective decision tree
- Portfolio choice with non-expected utility in continuous time
- Life insurance decisions under recursive utility
- Preferences with frames: A new utility specification that allows for the framing of risks
- Stochastic taxation and asset pricing in dynamic general equilibrium
- Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
- Econometric specification of stochastic discount factor models
- Recursive utility, productive government expenditure and optimal fiscal policy
- Robust consumption and portfolio policies when asset prices can jump
- Composition of time-consistent dynamic monetary risk measures in discrete time
- The aggregation of preferences: Can we ignore the past?
- PDE solutions of stochastic differential utility
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Utility from anticipation and personal equilibrium
- Evolutionary stability of portfolio rules in incomplete markets
- Market selection and survival of investment strategies
- Understanding dynamic mean variance asset allocation
- A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
- An Intertemporal Capital Asset Pricing Model
- Robust control and model misspecification
- Instability of financial markets and preference heterogeneity
- Life-cycle asset allocation with annuity markets
- Survival with ambiguity
- Cash flows risk, capital structure, and corporate bond yields
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Subjective recursive expected utility
- Intrinsic preference for information
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
- Portfolio selection: a review
- Personal finance and life insurance under separation of risk aversion and elasticity of substitution
- 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
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