Recursive Preferences

Generalized entropy and model uncertainty
I provide a model uncertainty foundation to the power certainty equivalent of Epstein-Zin-Weil risk sensitive preferences (EZ), …
Alexander Meyer-Gohde
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Decomposing Risk in Dynamic Stochastic General Equilibrium
We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility and recursive …
Hong Lan, Alexander Meyer-Gohde
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