In this paper, the assumption of monotonicity of Anscombe and Aumann (1963) is replaced by an assumption of monotonicity with respect to first-order stochastic dominance. I derive a representation result where ambiguous distributions of objective beliefs are first aggregated into “equivalent...

Climate policies have stochastic consequences that involve a great number of generations. This calls for evaluating social risk (what kind of societies will future people be born into) rather than individual risk (what will happen to people during their own lifetimes). As a response we propose...

We investigate whether the set of Kreps and Porteus (1978) preferences include classes of preferences that are stationary, monotonic and well-ordered in terms of risk aversion. We prove that the class of preferences introduced by Hansen and Sargent (1995) in their robustness analysis is the only...

We analyze the impact of risk and ambiguity aversion using a lifecycle recursive utility model. Both risk and ambiguity aversion are shown to reduce annuity demand and enhance bond holdings. We obtain this result using an intertemporal framework in which we can vary both risk and ambiguity...

We formalize the notion of monotonicity with respect to first-order stochastic dominance in the context of preferences defined over the set of temporal lotteries. It is shown that the only Kreps and Porteus (1978) preferences which are both stationary and monotone are Uzawa preferences and...

We formalize the notion of monotonicity with respect to first-order stochastic dominance in the context of preferences defined over the set of temporal lotteries. It is shown that the only Kreps and Porteus (1978) preferences which are both stationary and monotone are Uzawa preferences and...