Dynamic choice with constant source-dependent relative risk aversion

DOI10.1007/S00199-015-0920-9zbMATH Open1367.91066OpenAlexW2130849938MaRDI QIDQ889253FDOQ889253

Costis Skiadas

Publication date: 6 November 2015

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-015-0920-9

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zbMATH Keywords

recursive utilityambiguity aversionEpstein-Zin-Weil utilitysmall-risk approximationssource-dependent risk aversion

Mathematics Subject Classification ID

Utility theory (91B16) Financial applications of other theories (91G80)

Cites Work

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Cited In (3)

• On recursive utilities with non-affine aggregator and conditional certainty equivalent
• Dynamic Logit With Choice Aversion
• Scale-invariant uncertainty-averse preferences and source-dependent constant relative risk aversion

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