This paper develops a dynamic model of rational behavior under uncertainty, in which the agent maximizes the stream of future τ-quantile utilities, for τ ∈ (0, 1). That is, the agent has a quantile utility preference instead of the standard expected utility. Quantile preferences have useful...

This paper uses a consumption-based dynamic quantile preference model to estimate the elasticity of intertemporal substitution (EIS) across different levels of risk attitude. In the quantile model, the risk attitude is captured by the quantile and is, therefore, separable from the EIS. This is...