Intertemporal Substitution and Recursive Smooth Ambiguity ...

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Page 1:
Intertemporal Substitution andRecur
Page 6 and 7: As in KMM (2005, 2009a), we impose
Page 8 and 9: 2. Review of the Atemporal ModelsIn
Page 10 and 11: defined over it. Notice that by res
Page 12: For any c ∈ C, we use δ[c] to de
Page 15: The axiom below states that the pre
Page 18: is ambiguity averse if he prefers a
Page 22 and 23: Axiom B6 (Dynamic Consistency) For
Page 24 and 25: 3. On the subdomain C × M, we obta
Page 26 and 27: We can similarly define ambiguity l
Page 28 and 29: epresentations under these two appr
Page 30 and 31: where R t+1 is the market return fr
Page 32 and 33: Segal (1987, 1990) and Seo (2009).
Page 34 and 35: A Appendix: Proof of Theorems 1 and
Page 36 and 37: Define v = ψ ◦ ū −1 ◦ u, wh
Page 38 and 39: compute:∫˜ū (m) =∫=∫=∫= A
Page 40 and 41: DefineH = {h = (h 0 , h 1 , h 2 ,
Page 42 and 43: Lemma 5 We have the homeomorphic re
Page 44 and 45: Finite-step-ahead acts and densenes
Page 46 and 47: which is strictly increasing in the
Page 48 and 49: where the second equality follows f
Page 50 and 51: D Appendix: Proofs for Section 4.4P
Page 52 and 53: This relation holds true because i
Page 54 and 55: In complete markets, the following
Page 58: Weil, P. (1989): “The Equity Prem
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