Dynamic choice with constant source-dependent relative risk aversion
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| 008 | 210128e20151101xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1007/s00199-015-0920-9 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s00199-015-0920-9 | ||
| 100 | 1 | |a Skiadas |D Costis |u Department of Finance, Kellogg School of Management, Northwestern University, 2001 Sheridan Road, 60208, Evanston, IL, USA |4 aut | |
| 245 | 1 | 0 | |a Dynamic choice with constant source-dependent relative risk aversion |h [Elektronische Daten] |c [Costis Skiadas] |
| 520 | 3 | |a An axiomatic characterization of recursive utility with source-dependent constant relative risk aversion (CRRA), constant elasticity of intertemporal substitution, constant rate of impatience and subjective beliefs is established. The utility form is a minimal extension of Epstein-Zin-Weil utility that allows the CRRA to depend on the source of risk, a dependence that admits an ambiguity aversion interpretation. Dual representations of the proposed recursive utility are discussed and shown to be useful in tackling the central planner problem and associated asset pricing applications. An appendix presents the continuous-time version of the utility form, which preserves the effect of ambiguity aversion under Brownian/Poisson uncertainty, despite its smoothness. | |
| 540 | |a Springer-Verlag Berlin Heidelberg, 2015 | ||
| 690 | 7 | |a Source-dependent risk aversion |2 nationallicence | |
| 690 | 7 | |a Ambiguity aversion |2 nationallicence | |
| 690 | 7 | |a Recursive utility |2 nationallicence | |
| 690 | 7 | |a Epstein-Zin-Weil utility |2 nationallicence | |
| 690 | 7 | |a Small-risk approximations |2 nationallicence | |
| 773 | 0 | |t Economic Theory |d Springer Berlin Heidelberg |g 60/3(2015-11-01), 393-422 |x 0938-2259 |q 60:3<393 |1 2015 |2 60 |o 199 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s00199-015-0920-9 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s00199-015-0920-9 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Skiadas |D Costis |u Department of Finance, Kellogg School of Management, Northwestern University, 2001 Sheridan Road, 60208, Evanston, IL, USA |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Economic Theory |d Springer Berlin Heidelberg |g 60/3(2015-11-01), 393-422 |x 0938-2259 |q 60:3<393 |1 2015 |2 60 |o 199 | ||