On the Generalized Expected Discounted Utility Model

This note shows that the Generalized Expected Discounted Utility (GEDU) model is not dynamically consistent and does not allow for a complete separation of the parameters characterizing risk aversion and the elasticity of intertemporal substitution (EIS). Therefore, the model is not convenient for the effort of separating the EIS from risk aversion, which can be accomplished with alternative models such as Epstein and Zin (1989) and de Castro and Galvao (2019)

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Year of publication:	[2021]
Authors:	de Castro, Luciano I. ; Galvao, Antonio F. ; Montes-Rojas, Gabriel ; Olmo, Jose
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Nutzen \| Utility \| Intertemporale Entscheidung \| Intertemporal choice \| Erwartungsbildung \| Expectation formation \| Erwartungsnutzen \| Expected utility

Extent:	1 Online-Ressource (7 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 27, 2021 erstellt
Other identifiers:	10.2139/ssrn.3835368 [DOI]
Classification:	d15 ; C90 - Design of Experiments. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013230468