Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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Publication:4733645
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Cited in
(only showing first 100 items - show all)- Conditional preferences and updating.
- Implications of Return Predictability for Consumption Dynamics and Asset Pricing
- Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions
- An existence theorem of intertemporal recursive utility in the presence of Lévy jumps
- WOULD THERE EVER BE CONSENSUS VALUE AND SOURCE OF THE EQUITY RISK PREMIUM? A REVIEW OF THE EXTANT LITERATURE
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
- Time-inconsistent life-cycle consumption and retirement choice with mortality risk
- Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
- A new axiomatization of discounted expected utility
- Stochastic differential utility as the continuous-time limit of recursive utility
- Why uncertainty matters: discounting under intertemporal risk aversion and ambiguity
- Dynamic programming for non-additive stochastic objectives
- On aggregation and representative agent equilibria
- Explaining international business cycle synchronization: recursive preferences and the terms of trade channel
- Generalized entropy and model uncertainty
- Small noise methods for risk-sensitive/robust economies
- Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints
- Recursive utility and optimal growth with bounded or unbounded returns
- Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities
- Doubts or variability?
- Static and dynamic quantile preferences
- Maximum likelihood estimation of the nonlinear rational expectations asset pricing model
- Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
- Does near-rationality matter in first-order approximate solutions? A perturbation approach
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- Optimal asymmetric sector-specific labour taxation in an overlapping generations model
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- Asset allocation over the life cycle: how much do taxes matter?
- Long-run risk and hidden growth persistence
- Imperfect credibility and robust monetary policy
- How beneficial was the great moderation after all?
- Divergent risk-attitudes and endogenous collateral constraints
- Would you prefer your retirement income to depend on your life expectancy?
- DEEP EQUILIBRIUM NETS
- Productivity shocks and capital flows
- Asset and commodity prices with multi-attribute durable goods
- Market equilibrium with heterogeneous recursive-utility-maximizing agents
- Forward utility and market adjustments in relative investment-consumption games of many players
- Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time
- Dynamic programming with value convexity
- Monetary policy and long‐term interest rates
- Is intertemporal choice theory testable?
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Comparative risk aversion: a formal approach with applications to saving behavior
- The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
- Empirical asset pricing with multi-period disaster risk: a simulation-based approach
- Who saves more, the naive or the sophisticated agent?
- Conditional preference orders and their numerical representations
- Numerical approach to asset pricing models with stochastic differential utility
- On the intergenerational sharing of cohort-specific shocks on permanent income
- A behavioral definition of unforeseen contingencies
- Randomly evolving tastes and delayed commitment
- Pricing of the time-change risks
- Intertemporal substitution, risk aversion and ambiguity aversion
- Optimal consumption for recursive preferences with local substitution -- the case of certainty
- Ambiguity and endogenous discounting
- Recursive robust estimation and control without commitment
- The pricing kernel puzzle: survey and outlook
- Recursive non-expected utility: connecting ambiguity attitudes to risk preferences and the level of ambiguity
- Indifference pricing of insurance-linked securities in a multi-period model
- Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions
- State-Dependent Utility
- Bayesian estimation of long-run risk models using sequential Monte Carlo
- Monetary asymmetries without (and with) price stickiness
- Testing identification strength
- Optimal risk transfer and investment policies based upon stochastic differential utilities
- The envelope theorem, Euler and Bellman equations, without differentiability
- Continuous time one-dimensional asset-pricing models with analytic price-dividend functions
- A consumption-investment problem modelled as a discounted Markov decision process
- The tradeoff between risk sharing and information production in financial markets
- Rational inattention and the dynamics of consumption and wealth in general equilibrium
- Stochastic dynamic utilities and intertemporal preferences
- Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information
- Epstein‐Zin utility maximization on a random horizon
- Induced uncertainty, market price of risk, and the dynamics of consumption and wealth
- Probability weighting and default risk: a possible explanation for distressed stock puzzles
- Myopic loss aversion, reference point, and money illusion
- Equilibrium asset and option pricing under jump diffusion
- A case for incomplete markets
- Pricing long-lived securities in dynamic endowment economies
- Ambiguity aversion, asset prices, and the welfare costs of aggregate fluctuations
- Monetary policy and the term premium
- Equilibrium variance risk premium in a cost-free production economy
- Stochastic volatility implies fourth-degree risk dominance: applications to asset pricing
- Time to build and bond risk premia
- Time to build and bond risk premia
- Long-run heterogeneity in an exchange economy with fixed-mix traders
- Equilibrium asset pricing with Epstein-Zin and loss-averse investors
- Recursive smooth ambiguity preferences
- Optimal dividend payout model with risk sensitive preferences
- Price uncertainty and consumer welfare in an intertemporal setting
- Life insurance and pension contracts. II: The life cycle model with recursive utility
- Subjective random discounting and intertemporal choice
- Existence and uniqueness of recursive utilities without boundedness
- Intertemporal preference with loss aversion: consumption and risk-attitude
- Equilibrium equity price with optimal dividend policy
- The risk premium in New Keynesian DSGE models: the cost of inflation channel
- The ethics of intergenerational risk
- Anticipated backward SDEs with jumps and quadratic-exponential growth drivers
- Attitudes toward the timing of resolution of uncertainty and the existence of recursive utility
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