Exotic Preferences for Macroeconomists
David K. Backus
NYU Stern School of Business; National Bureau of Economic Research (NBER)
Carnegie Mellon University - David A. Tepper School of Business
Stanley E. Zin
New York University (NYU); National Bureau of Economic Research (NBER)
NYU Working Paper No. S-MF-04-13
We provide a userâ¬"s guide to â¬Sexoticâ¬? preferences: nonlinear time aggregators, departures from expected utility, preferences over time with known and unknown probabilities, risk sensitive and robust control, â¬Shyperbolicâ¬? discounting, and preferences over sets (â¬Stemptationsâ¬?). We apply each to a number of classic problems in macroeconomics and finance, including consumption and saving, portfolio choice, asset pricing, and Pareto optimal allocations.
Number of Pages in PDF File: 57
Keywords: time preference, risk, uncertainty, ambiguity, robust control, temptation, dynamic consistency, hyperbolic discounting, precautionary saving, equity premium, risk sharingworking papers series
Date posted: November 7, 2008
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