Smooth Ambiguity Aversion toward Small Risks and Continuous-Time Recursive Utility
研究了在布朗运动和泊松不确定性下，基于平滑二阶期望效用的确定性等价近似等于期望效用确定性等价，并推导出连续时间递归效用形式，同时发现非熵散度确定性等价会导致对布朗和泊松风险定价不同的新递归效用类。
a⊀b Assuming Brownian/Poisson uncertainty, a certainty equivalent (CE) based on the smooth second-order expected utility of Klibanoff, Marinacci, and Mukerji is shown to be approximately equal to an expected-utility CE. As a consequence, the corresponding continuous-time recursive utility form is the same as for Kreps-Porteus utility. The analogous conclusions are drawn for a smooth divergence CE, based on a formulation of Maccheroni, Marinacci, and Rustichini but only under Brownian uncertainty. Under Poisson uncertainty, a smooth divergence CE can be approximated with an expected-utility CE if and only if it is of the entropic type. A nonentropic divergence CE results in a new class of continuous-time recursive utilities that price Brownian and Poissonian risks differently.