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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Epstein–Zin preferences ： ウィキペディア英語版 Epstein–Zin preferences In economics, Epstein–Zin preferences (or Epstein–Zin-Weil preferences) refers to a specification of recursive utility. A recursive utility function can be constructed from two components: a time aggregator that characterizes preferences in the absence of uncertainty and a risk aggregator that defines the certainty equivalent function that characterizes preferences over static gambles and is used to aggregate the risk associated with future utility. With Epstein–Zin preferences, the time aggregator is a linearly homogenous CES aggregate of current consumption and the certainty equivalent of future utility. Specifically, the date-t utility index, $U\_t$, for a sequence of positive scalar consumptions $\backslash ,\; ...\backslash \}$, that are potentially stochastic for time periods beyond date t, is defined recursively as the solution to the nonlinear stochastic difference equation :$$ U_t = ((1-\beta) c_t^\rho + \beta \mu_t(U_)^\rho )^ , where $\backslash mu\_t(\; )$ is a real-valued certainty equivalent operator. The parameter determines the marginal rate of time preference, $1/\backslash beta\; -1$, and the parameter determines the elasticity of intertemporal substitution, $1/(1-\backslash rho)$. Epstein and Zin considered a variety of certainty equivalent operators, but a popular choice for both theoretical and empirical research has been $\backslash mu\_t(U\_)=(U\_^\backslash alpha)^$, where $E\_t$ denotes the expected value of probability distribution of $U\_$, conditional on information available to the planner in date t. The parameter encodes risk aversion, with smaller values of $\backslash alpha$, other things equal, implying a stronger aversion to risk. The parameter restriction $\backslash alpha=\backslash rho$ results in a time-additive von Neumann–Morgenstern expected utility index. Importantly, unlike VNM utility functions (e.g. isoelastic utility), Epstein-Zin preferences allow the elasticity of intertemporal substitution (determined above by $\backslash rho$) to be unrelated to risk aversion (determined above by $\backslash alpha$). ==References== * * 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Epstein–Zin preferences」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.