with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion and … backward stochastic differential equations. The supperdifferential of indirect utility is also obtained, meeting demands from … applications in which Epstein-Zin utilities were used to resolve several asset pricing puzzles. The empirically relevant utility …

utility, which has two key features. First, intertemporal substitution and risk aversion are disentangled. Second, the … when the departure from standard expected utility with rational expectations is small. In addition, we show that RI … increases the implied equity premium because inattentive investors with recursive utility face greater long-run risk and thus …

This paper studies consumption-portfolio decisions with recursive utility on a finite time horizon. We postulate … with time-additive utility is both quantitatively and qualitatively a poor measure of the relative strength of bequest. To …