Asset Pricing Theory

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Risk Preferences and the Macroeconomic Announcement Premium (2018, background): “We follow Strzalecki (2013) and consider intertemporal preferences that can be represented recursively as Vt = u (Ct)+βI [Vt+1] , where u maps current-period consumption into utility, and I maps the next-period continuation utility into its certainty equivalent.”
Smooth Ambiguity Aversion toward Small Risks and Continuous-Time Recursive Utility (2013, background): “Chapter 6 of Skiadas ð2009Þ discusses a related literature and provides a simple axiomatic foundation for recursive utility with an arbitrary certainty equivalent ðCEÞ, which can be specialized to the CEs of interest in this paper.”