This paper presents an axiomatic foundation for recursive utility that captures the role of the timing of resolution of uncertainty without relying on exogenously specified objective beliefs. Two main representation results are proved. In the first one, future utility enters the recursion...

This paper analyzes two equivalent equilibrium notions under asymmetric information: risk neutral rational expectations equilibria (rn-REE), and common knowledge equilibria. We show that the set of fully informative rn-REE is a singleton, and we provide necessary and sufficient conditions for...

This paper develops a general framework for modeling choice under uncertainty that extends subjective expected utility to include nonseparabilities, state-dependence, and the effect of subjective or ill defined consequences. This is accomplished by not including consequences among the formal...

Preferences are defined over payoffs that are contingent on a finite number of states representing a horse race (Knightian uncertainty) and a roulette (objective risk). The class of scale-invariant (SI) ambiguity-averse preferences, in a broad sense, is uniquely characterized by a multiple-prior...

This paper contains a formulation of conditional preferences and their aggregation across states of nature and time that is consistent with, but does not imply, an expected utility representation of preferences, state-independence, or consequentialism. Under weak consistency conditions, the...