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Nonexpected Utility in Macroeconomics

Philippe Weil^1,2

¹ National Bureau of Economic Research · ² Harvard University

This paper introduces, within the context of an infinite horizon optimal consumption problem, a parametric class of Kreps-Porteus nonexpected utility preferences—generalized isoelastic utility—which distinguishes attitudes toward risk from behavior toward intertemporal substitution. Some of the theoretical and empirical implications for macroeconomics of these state- and time-nonseparable preferences are examined.

DOI

10.2307/2937817

Volume

105 (1)

Pages

29

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Sources

crossref openalex