D'Addona, Stefano; Brevik, Frode - Centro di Ricerca sull'Economia delle Istituzioni … - 2011
We document an unpleasant feature of Epstein-Zin preferences in a stylized model economy of the long-run risk type now widespread in Asset Pricing: Agents with preference parameters commonly described as indicating a "preference for early resolution of uncertainty" achieve higher utility levels...