L
Larry G. Epstein
Researcher at Boston University
Publications - 133
Citations - 19778
Larry G. Epstein is an academic researcher from Boston University. The author has contributed to research in topics: Ambiguity & Capital asset pricing model. The author has an hindex of 58, co-authored 132 publications receiving 18725 citations. Previous affiliations of Larry G. Epstein include University of Rochester & University of Waterloo.
Papers
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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
Larry G. Epstein,Stanley E. Zin +1 more
TL;DR: In this paper, a class of recursive, but not necessarily expected utility, preferences over intertemporal consumption lotteries is developed, which allows risk attitudes to be disentangled from the degree of inter-temporal substitutability, leading to a model of asset returns in which appropriate versions of both the atemporal CAPM and the inter-time consumption-CAPM are nested as special cases.
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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis
Larry G. Epstein,Stanley E. Zin +1 more
TL;DR: In this paper, the authors investigate the testable restrictions on the time-series behavior of consumption and asset returns implied by a representative agent model in which intertemporal preferences are represented by utility functions that generalize conventional, time-additive, expected utility.
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Stochastic differential utility
TL;DR: In this article, a stochastic differential formulation of recursive utility is given sufficient conditions for existence, uniqueness, time consistency, monotonicity, continuity, risk aversion, concavity, and other properties.
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Recursive multiple-priors
TL;DR: This paper axiomatizes an intertemporal version of multiple-ptiors utility that is consistent with a rich set of possibilities for dynamic behavior under ambiguity and argues that dynamic consitency is intuitive in a wide range of situations.
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Ambiguity, risk, and asset returns in continuous time
Zengjing Chen,Larry G. Epstein +1 more
TL;DR: In this article, a continuous-time intertemporal version of multiple-priors utility, where aversion to ambiguity is admissible, is presented. But the model is restricted to a representative agent asset market setting.