A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
33 Pages Posted: 28 Dec 2006 Last revised: 13 Nov 2022
Date Written: November 1993
Abstract
This paper considers a representative agent model of asset prices based on a recursive utility specification. A constant elasticity of intertemporal substitution is assumed but the risk-preference component of utility is restricted only by qualitative, nonparametric regularity conditions. The principal contribution is to determine the exhaustive implications of this semiparametric recursive utility model for the one-step ahead joint probability distribution for consumption growth and asset returns.
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