A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
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https://www.nber.org/papers/w4524
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This paper considers a representative agent model of asset prices based on a recursive utility specification. A constant elasticity of intertemporal substitution is assumed but the risk-preference component of utility is restricted only by qualitative, nonparametric regularity conditions. The
本文针对基于递归效用（recursive utility）设定的资产定价代表性行为人模型展开研究。本文假设效用具有恒定的跨期替代弹性，且仅通过定性、非参数正则性条件对效用的风险偏好成分施加约束。该
提供机构：
美国国家经济研究局
创建时间：
1993-11-01
