Intertemporal utility smoothing under uncertainty

This paper axiomatizes a recursive utility model that captures both intertemporal utility smoothing defined across time and ambiguity aversion defined over states. The resulting representation adapts Wakai (Econometrica 76:137–153, <CitationRef CitationID="CR18">2008</CitationRef>) model of intertemporal utility smoothing as an aggregator function, where the utility of the certainty equivalent of future uncertainty is computed by Gilboa and Schmeidler (J Math Econ 18:141–153, <CitationRef CitationID="CR8">1989</CitationRef>) multiple-priors utility. The model also permits the separation of intertemporal utility smoothing from ambiguity aversion. Copyright Springer Science+Business Media New York 2013