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• W1777509706 abstract "In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches: the second-order act approach à la Klibanoff et al. (2005) and the two-stage randomization approach à la Seo (2009). We characterize risk attitude and ambiguity attitude within these two approaches. We then discuss our model's application in asset pricing. Our recursive preference model nests some popular models in the literature as special cases." @default.
• W1777509706 created "2016-06-24" @default.
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• W1777509706 date "2011-09-01" @default.
• W1777509706 modified "2023-09-30" @default.
• W1777509706 title "Intertemporal substitution and recursive smooth ambiguity preferences" @default.
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• W1777509706 doi "https://doi.org/10.3982/te843" @default.
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