Hayashi, Takashi; Miao, Jianjun - In: Theoretical economics : TE ; an open access journal in … 6 (2011) 3, pp. 423-472
In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a … separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches … Seo (2009). We characterize risk attitude and ambiguity attitude within these two approaches. We then discuss our model …