caa a22 4500 605475458 CHVBK 20210128100352.0 cr unu---uuuuu 210128e20151101xx s 000 0 eng 10.1007/s00199-015-0920-9 doi (NATIONALLICENCE)springer-10.1007/s00199-015-0920-9 Skiadas Costis Department of Finance, Kellogg School of Management, Northwestern University, 2001 Sheridan Road, 60208, Evanston, IL, USA aut Dynamic choice with constant source-dependent relative risk aversion [Elektronische Daten] [Costis Skiadas] 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. Springer-Verlag Berlin Heidelberg, 2015 Source-dependent risk aversion nationallicence Ambiguity aversion nationallicence Recursive utility nationallicence Epstein-Zin-Weil utility nationallicence Small-risk approximations nationallicence Economic Theory Springer Berlin Heidelberg 60/3(2015-11-01), 393-422 0938-2259 60:3<393 2015 60 199 https://doi.org/10.1007/s00199-015-0920-9 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s00199-015-0920-9 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Skiadas Costis Department of Finance, Kellogg School of Management, Northwestern University, 2001 Sheridan Road, 60208, Evanston, IL, USA aut NATIONALLICENCE 773 0- Economic Theory Springer Berlin Heidelberg 60/3(2015-11-01), 393-422 0938-2259 60:3<393 2015 60 199