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Non-Expected Utility in Macroeconomics

Abstract : This paper introduces, within the context of an infinite optimal consumption problem, a parametric class of Kreps-Porteus nonexpected utility preferences--generalized isoelastic utility--which distinguishes attitudes toward risk from behavior toward intertemporal substitution. Some of the theoretical and empirical implications for macroeconomics of these state- and time-nonseparable preferences are examined. Copyright 1990, the President and Fellows of Harvard College and the Massachusetts Institute of Technology.
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Submitted on : Thursday, October 21, 2021 - 10:17:10 PM
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  • HAL Id : hal-03393362, version 1
  • SCIENCESPO : 2441/8688



Philippe Weil. Non-Expected Utility in Macroeconomics. Quarterly Journal of Economics, Oxford University Press (OUP), 1990, 105 (1), pp.29 - 42. ⟨hal-03393362⟩



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