Garcia, René; Renault, Éric; Semenov, Andrei - Centre Interuniversitaire de Recherche en Analyse des … - 2003
disentangle the two concepts, Epstein and Zin (1989) and Weil (1989) have proposed a recursive utility framework. However, the … recursive utility model introduces risk aversion through the definition of a certainty equivalent of future utility that mixes …