Subjective recursive expected utility

Peter Klibanoff, Emre Ozdenoren*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

11 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 languageEnglish (US)
Pages (from-to)49-87
Number of pages39
JournalEconomic Theory
Volume30
Issue number1
DOIs
StatePublished - Jan 2007

Keywords

  • Recursive utility
  • Risk information
  • Subjective expected utility
  • Uncertainty

ASJC Scopus subject areas

  • Economics and Econometrics

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