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,...

In comparison with the external wage structures of more economically advanced countries, almost every kind of wage differential is much wider in Japanese industries. In addition, the internal wage structure in many firms and industries is, to a large extent, a function of the age distribution of...

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...

This paper derives an exact form of partial equilibrium efficiency measure under uncertainty which is consistent with expected utility maximization in a general equilibrium situation with ex-post spot markets for many goods and asset markets which are in general incomplete.

This paper presents an axiomatic model of decision making under uncertainty which incorporates objective but imprecise information. Information is assumed to take the form of a probability-possibility set, that is, a set $P$ of probability measures on the state space. The decision maker is told...