Recursive utility and parameter uncertainty

被引：2

作者：

Al-Najjar, Nabil I. ^{[1
]}

Shmaya, Eran ^{[1
]}

机构：

[1] Northwestern Univ, Kellogg Sch Management, Dept Managerial Econ & Decis Sci, Evanston, IL 60208 USA

来源：

JOURNAL OF ECONOMIC THEORY | 2019年 / 181卷

关键词：

Recursive utility; Parameter uncertainty;

D O I：

10.1016/j.jet.2019.02.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We explore how the Epstein Zin utility captures an agent's sensitivity to parameter uncertainty. Our main result is a closed-form representation of the Epstein Zin utility for an i.i.d. consumption process with unknown parameter, as the discount factor approaches 1. Using this representation, and under the usual assumption about the relationship between risk aversion and the attitude towards time smoothing, we show that the agent is averse to parameter uncertainty. (C) 2019 Elsevier Inc. All rights reserved.

引用

页码：274 / 288

页数：15

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