To study intertemporal decisions under risk, we develop a new recursive model of non-expected-utility preferences. The main axiom of our analysis is called mixture aversion, as it captures a dislike of probabilistic mixtures of lotteries. Our representation for mixture-averse preferences can be...

This paper investigates the effects of risk aversion on portfolio choices in terms of life insurance purchase and risky asset investment. The theoretical results show that households with very low degree of risk aversion allocate all of their investments to risky assets and have little desire to...