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Journal of Economic Theory, ISSN 0022-0531, 05/2019, Volume 181, pp. 274 - 288
We explore how the Epstein–Zin utility captures an agent's sensitivity to parameter uncertainty. Our main result is a closed-form representation of the... 
Parameter uncertainty | Recursive utility | ECONOMICS | Business schools
Journal Article
Mathematical Finance, ISSN 0960-1627, 10/2018, Volume 28, Issue 4, pp. 991 - 1019
Journal Article
Stochastics: Proceedings of the Hammamet Conference, 19-23 October 2015, ISSN 1744-2508, 10/2017, Volume 89, Issue 6-7, pp. 994 - 1014
Journal Article
Journal of Economic Theory, ISSN 0022-0531, 01/2018, Volume 173, pp. 118 - 141
We consider convex dynamic programs with general (bounded) recursive utilities. The Contraction Mapping Theorem fails when the utility aggregator does not obey... 
Bellman operator | Thompson aggregator | Recursive utility | EXISTENCE | RETURNS | BELLMAN EQUATION | ECONOMICS | OPTIMAL-GROWTH | UNIQUENESS
Journal Article
Journal of Economic Theory, ISSN 0022-0531, 05/2014, Volume 151, Issue 1, pp. 528 - 550
We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus [21], converges to stochastic... 
Stochastic differential utility | Backward stochastic differential equation | Recursive utility | Convergence | RARE DISASTERS | APPROXIMATION | STABILITY | LONG-RUN | RESOLUTION | RISK | CHOICE | NONEXPECTED UTILITY | EQUITY PREMIUM | ECONOMICS | CONSUMPTION
Journal Article
Management Science, ISSN 0025-1909, 5/2018, Volume 64, Issue 5, pp. 2308 - 2324
Journal Article
Journal of Economic Theory, ISSN 0022-0531, 07/2015, Volume 158, pp. 21 - 32
Calibration results in Rabin (2000) and Safra and Segal (2008, 2009) suggest that both expected and non-expected utility theories cannot produce non-negligible... 
Risk aversion | Calibration | Recursive preferences | Non-expected utility theories | DISAPPOINTMENT AVERSION | RISK-AVERSION | CHOICE | EXPECTED-UTILITY | PREFERENCES | UNCERTAINTY | ALLAIS-TYPE | ECONOMICS | ANTICIPATED UTILITY | INDEPENDENCE AXIOM | VIOLATIONS
Journal Article
Economics Letters, ISSN 0165-1765, 02/2018, Volume 163, pp. 10 - 12
This paper investigates the first-order differentiability properties of the value function in dynamic economic models with recursive preferences where the... 
First-order differentiability | Dynamic economic models | Recursive utility | ECONOMICS | Mathematical optimization | Analysis | Business schools
Journal Article
Journal of Money, Credit and Banking, ISSN 0022-2879, 03/2016, Volume 48, Issue 2-3, pp. 325 - 362
Journal Article
1990, Working paper series / Dept. of Economics and Institute for Policy Analysis, University of Toronto, Volume no. 9005, 25, [1]
Book
Mathematical Control and Related Fields, ISSN 2156-8472, 2018, Volume 8, Issue 3-4, pp. 753 - 775
Journal Article
Journal of Mathematical Economics, ISSN 0304-4068, 01/2014, Volume 50, Issue 1, pp. 269 - 282
This paper formulates a model of utility for a continuous time framework that captures the decision-maker’s concern with ambiguity about both the drift and... 
Quasisure analysis | Recursive utility | Robust stochastic volatility | Undominated measures | [formula omitted]-Brownian motion | Ambiguity | G-Brownian motion | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | Ambiguity Recursive utility | RISK | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS
Journal Article
Journal Article
Proceedings of the National Academy of Sciences of the United States of America, ISSN 0027-8424, 7/2012, Volume 109, Issue 30, pp. 11967 - 11972
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 02/2015, Volume 115, Issue 2, pp. 361 - 382
Journal Article