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Home | Faculty & Research Overview | Research

Research Details

Recrusive Utility and Parameter Uncertainty, Journal of economic theory

Abstract

We explore how the Epstein-Zin utility captures an agent's sensitivity to parameter uncertainty. Our main result is a closed-form representation of the Epstein-Zin utility for an i.i.d. consumption process with unknown parameter, as the discount factors approaches 1. In this representation, the coefficient of relative risk aversion characterizes the attitude to parameter uncertainty.

Type

Article

Author(s)

Nabil Al-Najjar, Eran Shmaya

Date Published

2019

Citations

Al-Najjar, Nabil, and Eran Shmaya. 2019. Recrusive Utility and Parameter Uncertainty. Journal of economic theory. 118: 274–288.

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