Subjective recursive expected utility

Peter Klibanoff; Emre Ozdenoren

doi:10.1007/s00199-005-0041-y

Subjective recursive expected utility

Peter Klibanoff, Emre Ozdenoren^*

^*Corresponding author for this work

Managerial Economics, Decision Sciences and Operations

Research output: Contribution to journal › Article › peer-review

13 Scopus citations

Abstract

We axiomatize a subjective version of the recursive expected utility model. This development extends the seminal results of Kreps and Porteus (Econometrica 46:185-200 (1978)) to a subjective framework and provides foundations that are easy to relate to axioms familiar from timeless models of decision making under uncertainty. Our analysis also clarifies what is needed in going from a represention that applies within a single filtration to an across filtration representation.

Original language	English (US)
Pages (from-to)	49-87
Number of pages	39
Journal	Economic Theory
Volume	30
Issue number	1
DOIs	https://doi.org/10.1007/s00199-005-0041-y
State	Published - Jan 2007

Keywords

Recursive utility
Risk information
Subjective expected utility
Uncertainty

ASJC Scopus subject areas

Economics and Econometrics

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10.1007/s00199-005-0041-y

Cite this

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AB - We axiomatize a subjective version of the recursive expected utility model. This development extends the seminal results of Kreps and Porteus (Econometrica 46:185-200 (1978)) to a subjective framework and provides foundations that are easy to relate to axioms familiar from timeless models of decision making under uncertainty. Our analysis also clarifies what is needed in going from a represention that applies within a single filtration to an across filtration representation.

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KW - Uncertainty

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Subjective recursive expected utility

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

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