The inability of the Bayesian model to accomodate Ellsberg-type behavior is well known. This paper focuses on another limitation of the Bayesian model, specific to a dynamic setting, namely the inability to permit a distinction between experiments that are identical and those that are only...

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...

This paper axiomatizes an intertemporal version of multiple-ptiors utility. A central axiom is dynamic consistency, which leads to a recursive structure for utility, to 'rectangular' sets of priors and to prior-by-prior Bayesian updating as the updating rule for such sets of priors. It is argued...

There is a growing literature considering deviations from standard constant discounting. In this paper we combine time-inconsistent (non-constant discounting) preferences with recursive utilities. We apply this setting to the demand side properties of what we call arduous goods. The rational for...

Time and uncertainty constitute essential ingredients to many of the most challenging resource problems. With respect to the time dimension, agents are generally assumed to have a pure time preference as well as a preference for smoothing consumption over time. With respect to risk, agents are...

This paper distinguishes relative risk aversion and resistance to intertemporal substitution in climate risk modeling. Stochastic recursive preferences are introduced in a stylized numeric climate-economy model using preliminary IPCC 1998 scenarios. It shows that higher risk aversion increases...

This paper distinguishes relative risk aversion and resistance to intertemporal substitution in climate risk modelling. Stochastic recursive preferences are introduced in a stylised numeric climate-economy model using preliminary IPPC 1998 scenarios. It shows that higher risk aversion increases...