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