and dynamic interaction between volatility and growth.

We explore the properties of Pareto optimal allocations when agents have heterogeneous recursive preferences. The dynamics of individual consumption growth reflect not just standard mean-variance tradeoffs as in the expected-utility model, but also tradeoffs involving the timing of the...

We characterize generalized disappointment aversion (GDA) risk preferences that can overweight lower-tail outcomes relative to expected utility. We show in an endowment economy that recursive utility with GDA risk preferences generates effective risk aversion that is countercyclical. This...