Temporal Resolution of Uncertainty and Recursive Models of Ambiguity Aversion
研究了模糊厌恶模型中模糊态度与不确定性解决时间偏好之间的强相互依赖关系，发现只有Gilboa和Schmeidler的maxmin期望效用模型对时间无差异，其他常用模型则表现出时间非无差异，并刻画了长期风险无差异的特征。
Dynamic models of ambiguity aversion are increasingly popular in applied work. This paper shows that there is a strong interdependence in such models between the ambiguity attitude and the preference for the timing of the resolution of uncertainty, as defined by the classic work of Kreps and Porteus (1978). The modeling choices made in the domain of ambiguity aversion influence the set of modeling choices available in the domain of timing attitudes. The main result is that the only model of ambiguity aversion that exhibits indifference to timing is the maxmin expected utility of Gilboa and Schmeidler (1989). This paper examines the structure of the timing nonindifference implied by the other commonly used models of ambiguity aversion. This paper also characterizes the indifference to long-run risk, a notion introduced by Duffie and Epstein (1992). The interdependence of ambiguity and timing that this paper identifies is of interest both conceptually and practically—especially for economists using these models in applications.