A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
33 Pages Posted: 28 Dec 2006
Date Written: November 1993
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.
Suggested Citation: Suggested Citation