A Revealed Preference Analysis of Asset Pricing Under Recursive Utility

33 Pages Posted: 28 Dec 2006

See all articles by Larry G. Epstein

Larry G. Epstein

University of Rochester - Department of Economics

Angelo Melino

University of Toronto

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.

Suggested Citation

Epstein, Larry and Melino, Angelo, A Revealed Preference Analysis of Asset Pricing Under Recursive Utility (November 1993). NBER Working Paper No. w4524. Available at SSRN: https://ssrn.com/abstract=481481

Larry Epstein (Contact Author)

University of Rochester - Department of Economics ( email )

Harkness Hall
Rochester, NY 14627-0158
United States
585-275-4320 (Phone)

Angelo Melino

University of Toronto ( email )

Department of Economics
Toronto, Ontario M5S 3E6
Canada
(416)978-6541 (Phone)
(416)978-6713 (Fax)

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