Concepedia

Recursive Utility Models

Recursive Utility Models is a utility representation framework in asset pricing theory that generalizes expected utility by allowing intertemporal preferences to be recursively structured, such that current utility depends on current consumption and the certainty equivalent of future utility, thereby separating risk aversion from intertemporal substitution.

196

Publications

19.4K

Citations

259

Authors

213

Institutions

Publications per year

2017–2026

28

Parents

Publications

196

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Larry G. Epstein, Stanley E. Zin · Econometrica · 1989 · 4.5K citations

, , +17

Backward Stochastic Differential Equations in Finance

Nicole El Karoui, Shigē Péng, M.C. Quenez · Mathematical Finance · 1997 · 2.4K citations

, , +10

Stochastic Differential Utility

Darrell Duffie, Larry G. Epstein · Econometrica · 1992 · 1.2K citations

, , +17

On Efficient Distribution with Private Information

Andrew Atkeson, Robert E. Lucas · The Review of Economic Studies · 1992 · 509 citations

, , +13

Asset Pricing with Stochastic Differential Utility

Darrell Duffie, Larry G. Epstein · Review of Financial Studies · 1992 · 501 citations

, , +17

1–5 of 196

Authors

259

  1. CS
    Costis Skiadas

    Northwestern University, United States

    11 publications · 974 citations

    11

    h-index

  2. LG
    Larry G. Epstein

    University of Toronto, Canada

    8 publications · 6.9K citations

    8

    h-index

  3. FT
    Frank Thomas Seifried

    Universität Trier, Germany

    8 publications · 266 citations

    8

    h-index

  4. HK
    Holger Kraft

    Goethe University Frankfurt, Germany

    7 publications · 249 citations

    7

    h-index

  5. MS
    Mark Schröder

    Michigan State University, United States

    7 publications · 611 citations

    7

    h-index

1–5 of 259

Institutions

213

  1. National Bureau of Economic Research

    Cambridge, United States

    15 h-index

    29 publications

    1.8K citations

  2. Centre for Economic Policy Research

    London, United Kingdom

    12 h-index

    15 publications

    844 citations

  3. Northwestern University

    Evanston, United States

    10 h-index

    10 publications

    614 citations

  4. New York University

    New York, United States

    10 h-index

    10 publications

    350 citations

  5. University of Chicago

    Chicago, United States

    9 h-index

    13 publications

    1.8K citations

  6. Federal Reserve Bank of Atlanta

    Georgiana, United States

    7 h-index

    7 publications

    350 citations

  7. Goethe University Frankfurt

    Frankfurt am Main, Germany

    7 h-index

    8 publications

    271 citations

  8. University of Pennsylvania

    Philadelphia, United States

    7 h-index

    8 publications

    352 citations

1–8 of 213

Venues

  1. SSRN Electronic Journal

    Repository · 36 publications · 1K citations

    19

    h-index

  2. Journal of Economic Theory

    JET · 14 publications · 1K citations

    12

    h-index

  3. Econometrica

    10 publications · 6.9K citations

    10

    h-index

  4. Economic Theory

    7 publications · 221 citations

    7

    h-index

  5. Mathematical Finance

    6 publications · 2.5K citations

    6

    h-index

1–5