Subjective Recursive Expected Utility

53 Pages Posted: 29 Nov 2004

Date Written: November 2004

Abstract

We axiomatize a subjective version of the recursive expected utility model. This development extends the seminal results of Kreps and Porteus (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.

Keywords: Recursive utility, subjective probability, uncertainty, risk, information

JEL Classification: D80, D81, D90

Suggested Citation

Klibanoff, Peter and Ozdenoren, Emre, Subjective Recursive Expected Utility (November 2004). Available at SSRN: https://ssrn.com/abstract=624221 or http://dx.doi.org/10.2139/ssrn.624221

Peter Klibanoff

Northwestern University - Kellogg School of Management ( email )

2001 Sheridan Road
Evanston, IL 60208
United States
847-491-5153 (Phone)
847-467-1220 (Fax)

Emre Ozdenoren (Contact Author)

London Business School ( email )

Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom

Centre for Economic Policy Research (CEPR)

London
United Kingdom

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