Subjective Recursive Expected Utility
53 Pages Posted: 29 Nov 2004
Date Written: November 2004
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: Suggested Citation