Search Results - subject:"Recursive multiple-priors utility"

Ambiguity, Risk and Portfolio Choice under Incomplete Information

Miao, Jianjun - In: Annals of Economics and Finance 10 (2009) 2, pp. 257-279

there is a distinction between ambiguity and risk. The latter distinction is afforded by adoption of recursive multiple-priors … utility. The fundamental issues are: (i) How does the agent optimally estimate the unobservable processes as new information …

Persistent link: https://www.econbiz.de/10010554861

Intertemporal substitution, risk aversion and ambiguity aversion

Hayashi, Takashi - In: Economic Theory 25 (2005) 4, pp. 933-956

This paper axiomatizes a form of recursive utility on consumption processes that permits a role for ambiguity as well as risk. The model has two prominent special cases: (i) the recursive model of risk preference due to Kreps and Porteus [18]; and (ii) an intertemporal version of multiple-priors...

Persistent link: https://www.econbiz.de/10005370906

Ambiguity, Risk and Portfolio Choice under Incomplete Information

Miao, Jianjun - Department of Economics, Boston University

Persistent link: https://www.econbiz.de/10008545849