Jahan-Parvar, Mohammad R.; Liu, Hening - 2011
preferences permits a three-way separation of risk aversion, ambiguity aversion, and the attitude toward intertemporal … intertemporal substitution being greater than unity cannot generate a sizable risk premium. With a moderate coefficient of relative … risk aversion, our model with ambiguity aversion can account for the low volatility of consumption growth observed in the …