naa a22 4500 510808476 CHVBK 20180411083429.0 cr unu---uuuuu 180411e20130901xx s 000 0 eng 10.1007/s11579-013-0103-z doi (NATIONALLICENCE)springer-10.1007/s11579-013-0103-z Skiadas Costis Kellogg School of Management, Department of Finance, Northwestern University, 2001 Sheridan Road, 60208, Evanston, IL, USA aut Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty [Elektronische Daten] [Costis Skiadas] Motivated by notions of aversion to Knightian uncertainty, this paper develops the theory of competitive asset pricing and consumption/portfolio choice with homothetic recursive preferences that allow essentially any homothetic uncertainty averse certainty-equivalent form. The market structure is scale invariant but otherwise general, allowing any trading constraints that scale with wealth. Technicalities are minimized by assuming a finite information tree. Pricing restrictions in terms of consumption growth and market returns are derived and a simple recursive method for solving the corresponding optimal consumption/portfolio choice problem is established. Springer-Verlag Berlin Heidelberg, 2013 Asset pricing theory nationallicence Portfolio theory nationallicence Recursive utility nationallicence Knightian uncertainty nationallicence Ambiguity aversion nationallicence Mathematics and Financial Economics Springer Berlin Heidelberg 7/4(2013-09-01), 431-456 1862-9679 7:4<431 2013 7 11579 https://doi.org/10.1007/s11579-013-0103-z text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11579-013-0103-z text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Skiadas Costis Kellogg School of Management, Department of Finance, Northwestern University, 2001 Sheridan Road, 60208, Evanston, IL, USA aut NATIONALLICENCE 773 0- Mathematics and Financial Economics Springer Berlin Heidelberg 7/4(2013-09-01), 431-456 1862-9679 7:4<431 2013 7 11579 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer