WebAug 21, 2008 · Skiadas (2013c) argues that ambiguity aversion represented by certain types of smooth recursive utility disappears as the frequency increases, given Brownian or Poisson information. This section ... WebJun 4, 2008 · We use the multiple price list method and a recursive expected utility theory of smooth ambiguity to separate out attitude towards risk from that towards a Recursive …
Aversion to ambiguity and model misspecification in dynamic …
WebThe present paper, then, presents the first recursive model of intertemporal preferences that are ambiguity sensitive and dynamically consistent that does allow a separation of … WebThe literature has settled on a broad notion of recursive utility functions (Backus, Routledge, and Zin (2004),Ai and Bansal (2016),Strzalecki (2013)), which is su cient to incorporate many preference e ects, such as a preference over risk-timing (Kreps and Porteus (1978)) or smooth ambiguity aversionKlibano , Marinacci, and Mukerji (2009)). courtly check enamel napkin holder
A two-person dynamic equilibrium under ambiguity
Weba number of situations where Choquet expected utility, as well as other known models of ambiguity aversion, cannot capture plausible features of ambiguity attitudes. Most of these problems arise in choice over prospects involving three or more outcomes. We show that the recursive nonexpected utility model of Segal (International Economic Review 28 WebThis is because ambiguity about volatility leads invariably to a set of nonequivalent priors, that is, to priors that disagree about which scenarios are possible. Key words: ambiguity, recursive utility, G-Brownian motion, undomi- nated measures, quasisure analysis, robust stochastic volatility WebFeb 1, 2015 · The basic structure of recursive utility is due to Koopmans (1960) and Lucas and Stokey (1984), which decompose a utility function into current consumption and future utility in a nonlinear fashion. Epstein and Zin (1989) provide a theoretical framework in which the agent can have distinct attitudes toward intertemporal substitution and risk. brian moog power loading formula review