Recursive utility under the ICAPM: is it relevant?

DOI10.1016/J.ECONLET.2025.112724MaRDI QIDQ6845749zbMATH OpenFDO

Authors Paulo Maio

Publication date 12 March 2026

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2025.112724

zbMATH Keywords

asset pricingconsumption CAMPICAPMpower utilityrecursive utility

Mathematics Subject Classification ID

Utility theory (91B16) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites work

• Ambiguity, learning, and asset returns
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• An Intertemporal Capital Asset Pricing Model
• Approximate equilibrium asset prices
• Asset Prices in an Exchange Economy
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• Macro-Finance*
• Seeing the unobservable from the invisible: the role of CO\(_{2}\) in measuring consumption risk
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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