Larry G. Epstein

Selected Publications

• Stationary cardinal utility and optimal growth under uncertainty, J. Econ. Theory 1983
  
• The rate of time preference and dynamic economic analysis, J. Pol. Econ. 1983, with A. Hynes
• A simple dynamic general equilibrium model, J. Econ. Theory 1987
• Risk aversion and asset prices, J. Mon. Econ. 1988
• Substitution, risk aversion and the temporal behavior of consumption and asset returns: a theoretical framework, Econometrica 1989, with S. Zin
• First-order risk aversion and the equity premium puzzle, J. Mon. Econ. 1990, with S. Zin
  
• Substitution, risk aversion and the temporal behavior of consumption and asset returns: an empirical analysis, J. Pol. Econ. 1991, with S. Zin
• Stochastic differential utility, Econometrica 1992, with D. Duffie
• Quadratic social welfare functions, J. Pol. Econ. 1992, with U. Segal
• Dynamically consistent beliefs must be Bayesian, J. Econ. Theory 1993, with M. LeBreton
• Intertemporal asset pricing under Knightian uncertainty, Econometrica 1994, with T. Wang
• `Beliefs about beliefs' without probabilities, Econometrica 1996, with T. Wang
  
• A definition of uncertainty aversion, Rev. Ec. Stud. 1999
• A revelation principle for competing mechanisms, J. Econ. Theory 1999, with M. Peters
  
• Are probabilities used in markets? J. Econ. Theory 2000
  
• Subjective probabilities on subjectively unambiguous events, Econometrica 2001, with J. Zhang
• Sharing ambiguity, Amer. Econ. Rev. Proceedings, 2001
• The independence axiom and asset returns, J. Emp. Finan. 2001, with S. Zin
• Recursive multiple-priors, J. Econ. Theory 2003, with M. Schneider
• An axiomatic model of non-Bayesian updating, Rev. Ec. Stud. 2006
• Coarse contingencies and ambiguity, Theoretical Econ. 2007, with M. Marinacci and K. Seo
• Learning under ambiguity, Rev. Ec. Stud. 2007, with M. Schneider. Supplementary appendix.
• Ambiguity, information quality and asset pricing, J. Finance 2008, with M. Schneider
• Living with risk, Rev. Ec. Stud., 2008
• Subjective states: a more robust model, Games and Econ. Behav. 2009, with K. Seo
  
• Non-Bayesian learning, B.E. Journal of Theoretical Econ. (Advances) 2010, with Jawwad Noor and Alvaro Sandroni
  
• Symmetry of evidence without evidence of symmetry, Theoretical Econ. 2010, with Kyoungwon Seo
• Ambiguity and asset markets, Ann. Review of Finan. Econ. 2010, with Martin Schneider
  
• A paradox for the `smooth ambiguity' model of preference, Econometrica 2010
• Symmetry or dynamic consistency? B.E. Journal of Theoretical Econ. (Advances) 2011, with Kyoungwon Seo
• Ambiguous volatility and asset pricing in continuous time, Rev. Finan. Stud.  2013, with Shaolin Ji

Working Papers

• Bayesian inference and non-Bayesian prediction and choice: foundations and an application to entry games with multiple equilibria, with Kyoungwon Seo, revised June 2013
  
• A central limit theorem for belief functions, with Kyoungwon Seo, November 2011
  
• Ambiguity with repeated experiments, with Kyoungwon Seo, revised May 2012
• Ambiguous volatility, possibility and utility in continuous time, with Shaolin Ji, revised Jan 2013
• How much would you pay to resolve long-run risk? with Emmanuel Farhi and Tomasz Strzalecki
• No two experiments are identical, with Yoram Halevy
  

CV