Intertemporal substitution and recursive smooth ambiguity preferences
建立了一个公理化的广义递归平滑模糊模型，能够分离跨期替代、风险厌恶和模糊厌恶，并讨论了其在资产定价中的应用。
In this paper, we establish an axiomatically founded generalized recursive smooth ambiguity model that allows for a separation among intertemporal substitution, risk aversion, and ambiguity aversion. We axiomatize this model using two approaches: the second-order act approach à la Klibanoff et al. (2005) and the two-stage randomization approach à la Seo (2009). We characterize risk attitude and ambiguity attitude within these two approaches. We then discuss our model's application in asset pricing. Our recursive preference model nests some popular models in the literature as special cases.