We study the Epstein-Zin model with recursive utility. Recognizing that recursive preferences implies that the …

equilibrium model with recursive utility, search frictions, and capital accumulation yields a high equity premium of 4.26% per …

We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus … (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the continuous …

We derive the equilibrium interest rate and risk premiums using recursive utility for jump-diffusions. Compared to to … aversion related to the continuous part. We also consider a version that allows marginal utility to depend on past consumption …

We derive the equilibrium interest rate and risk premiums using recursive utility for jump-diffusions. Compared to to … circumstances. We consider the version of recursive utility which gives the most unambiguous separation of risk preference from time … processes for future utility and aggregate consumption. It is indicated that this model has the potential to give reasonable …