**Continuous**–**time** Asset Pricing - CiteSeerX S. Sundaresan, Intertemporally Dependent Preferences and the Volatil- ity of Consumption in Continuous Time: the Case of Certainty, Journal of Mathematical. Optimally eating a stochastic cake: a recursive ... - CiteSeerX intertemporal equilibrium model of optimal extraction of a non-renewable resource. The represen- certainty by allowing information to arrive over time: in 1980, Pindyck proposed a partial The model is set in continuous time.. One may notice that in the case where preferences are time separable and isoelastic (here.

Collective **Intertemporal** Choice: **Time** Consistency vs. **Time** ... 8 Dec 2015 time preferences to implement a collective consumption plan. Examples.. for the 'certainty equivalent' real discount rate. later on we work with continuous time, but this should be understood as the formal limit. Unlike the single agent case, time consistency and time invariance are not interchange-. A Relationship between Risk and **Time Preferences** - David K ... 12 Jun 2009 intertemporal consumption. ∗. This paper between risk and time preferences, without assuming specific forms of utility functions. characterizing the certainty effect is the special case of the common ratio effect, when. ˜η = 1:. Assumption 1: p(0) = 1, p is continuous and strictly decreasing, and p(∞) = 0. Optimal Investment and Consumption Decisions when **Time** ...

Aversion to ambiguity and model misspecification in dynamic ...

of preference, namely, intertemporal substitution, risk aversion and ambiguity aversion. The model has two in the continuous-time setting. To interpret further, note that in the certainty case (c is deterministic), the form reduces to. Ut(c) = W(ct fulltext - DiVA portal Non-expected utility preferences, which can distinguish intertemporal substitution from attitudes towards risk, are extended to continuous time. The consumption Non stationary additive utility and **time** consistency - HAL-SHS 29 May 2019 Within a continuous time life cycle model of consumption and savings, I study. intertemporal preferences may be time consistent, but not stationary, if they certainty. I will use optimal control to solve the model, instead of the discounting model is a special case, the only one that also fulfills stationarity. Precautionary Saving and Consumption Smoothing Across ...

12 Nov 2018 It implies that the Elasticity of Intertemporal Substitution (EIS) is the reciprocal of Time-additive/Expected Utility preferences imply an indifference to Of course, additive preferences are recursive too, and are a special case, i.e, when the the Time Aggregator and Certainty Equivalent are CES functions. Stochastic Differential Utility - Semantic Scholar recursive and intertemporal expected utility functions are observationally distinguishable. asset pricing are simpler than is the case in discrete-time, as is amply demon component of the specification of a recursive utility function is a certainty preferences, we point to the literature on continuous-time general equilibrium. Chapter 9 The **intertemporal** consumption-saving problem in ... time to continuous time analysis and of the application of optimal control theory. with certainty (1 + short-term interest rate) units of account at the end of period We assume the preferences of the household can be represented by a time-.. The upper case in (9.17) is here the relevant one and period-0 consumption. Optimal consumption and portfolio rules **with intertemporally** ... Yaacov Bergman,Time preference and capital asset pricing models intertemporal preferences with a continuous time dimension, I: The case of certainty.

intertemporal substitution, risk aversion, recursive utility, GMM, asset pricing. JEL classification: case of the CAPM, differences across securities in the measured covariance of returns with aggregate. on the certainty line. ification in a continuous time version of these preferences by making the penalization depend on

**Intertemporal Preferences** for Uncertain Consumption: A ... - jstor

25 Apr 2018 Keywords: risk preference, time preference, revealed preference, budgetary choice, continuous) utility function U. In other words, we ask whether there exists a In this case, ω (˜ω) is a sub-utility function over state-contingent. to changes of interest rate in the risky environment than under certainty.

**intertemporal** substitution and risk aversion - Lars Peter Hansen

This chapter introduces the basic intertemporal problem faced by a present the continuous-time version of the model and introduce the limiting case in which

strongly a difference between risk and time preferences. (JEL C91 ing over time. In particular, certainty and uncertainty are combined in intertemporal. purposefully focuses on cases where all uncertainty is resolved immediately, before.

Dynamic Consumption Theory