This paper investigates infinite horizon intertemporal utility functions which generalize the standard additive expected utility specification. Two classes of generalization are considered -- the first builds upon Kreps and Porteus (1978, 1979), while the second is a further generalization which embeds the non-expected utility theory of Dekel (1986) into a multiperiod framework. Each type of generalization permits intertemporal substitution and risk aversion to be disentangled. In the context of the representative agent model, each specification implies testable restrictions on the temporal behaviour of consumption and asset returns.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Publisher Info
Paper provided by Queen's University, Department of Economics in its series Working Papers with number
699.
For technical questions regarding this item, or to correct its listing, contact: (Mark Babcock).
Related research
Keywords:
Other versions of this item:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)