Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty
修改递归效用模型，使风险厌恶随时间跨度递减，在保留长期风险框架优势的同时，解决了标准模型在解释权益溢价时隐含的极端早期不确定性解决偏好问题，并捕捉了权益风险溢价的期限结构及其动态。
Abstract Inspired by experimental evidence, we amend the recursive utility model to let risk aversion decrease with the temporal horizon. Our pseudo-recursive preferences remain tractable and retain appealing features of the long-run risk framework, notably its success at explaining asset pricing moments. In addition, our model addresses two challenges to the standard model. Calibrating the agents’ preferences to explain the equity premium no longer implies an extreme preference for early resolutions of uncertainty. Horizon-dependent risk aversion helps resolve key puzzles in finance on the valuation of assets across maturities and captures the term structure of equity risk premiums and its dynamics.