The last 30 years saw substantial increases in wealth inequality and in stock market participation, smaller increases in consumption inequality and the fraction of indebted households, a decline in interest rates and in the expected equity premium, as well as a prolonged stock market boom....

This paper studies equilibrium portfolio choice and asset returns using a new model of recursive preferences called optimal risk attitude utility. Our model is an extension of recursive expected utility that allows an individual to optimally select her risk aversion parameter in response to the...

To study intertemporal decisions under risk, we develop a new recursive model of non-expected-utility preferences. The main axiom of our analysis is called mixture aversion, as it captures a dislike of probabilistic mixtures of lotteries. Our representation for mixture-averse preferences can be...