Larry G. Epstein

CV

Selected Publications

• Increasing generalized correlation: a definition and some economic consequences, Can. J. Econ. 1980, with S. Tanny
• Decision making and the temporal resolution of uncertainty, Int. Econ. Rev. 1980
  
• 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 J. Allan Hynes
• A simple dynamic general equilibrium model, J. Econ. Theory 1987
• Risk aversion and asset prices, J. Mon. Econ. 1988
• A unifying approach to axiomatic non-expected utility theories, J. Econ. Theory 1989, with Chew Soo Hong; Correction and comment, J. Econ. Theory 1993, with Chew Soo Hong and Peter Wakker
  
• The structure of preferences and attitudes towards the timing of the resolution of uncertainty, Int. Econ. Rev. 1989, with Chew Soo Hong
  
• Substitution, risk aversion and the temporal behavior of consumption and asset returns: a theoretical framework, Econometrica 1989, with S. Zin
• Nonexpected utility preferences in a temporal framework with an application to consumption-savings behavior, J. Econ. Theory 1990, with Chew Soo Hong
  
• 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
• Recursive utility under uncertainty, in M.A. Khan and N.C. Yannelis eds., Equilibrium Theory in Infinite Dimensional Spaces 1991, with Chew Soo Hong
  
• Mixture symmetry and quadratic utility, Econometrica 1991, with Chew Soo Hong and Uzi Segal
• Stochastic differential utility, Econometrica 1992, with Darrell Duffie
• Asset pricing with stochastic differential utility, Rev. Finan. Stud. 1992, with Darrell Duffie
• Quadratic social welfare functions, J. Pol. Econ. 1992, with Uzi Segal

• Behaviour under risk: recent developments in theory and application, in J. J. Laffont ed., Advances in Economic Theory  vol II– 6th World Congress of the Econometric Society, 1992

• Dynamically consistent beliefs must be Bayesian, J. Econ. Theory 1993, with Michel LeBreton
• Intertemporal asset pricing under Knightian uncertainty, Econometrica 1994, with Tan Wang
• `Beliefs about beliefs' without probabilities, Econometrica 1996, with Tan Wang
• Preference, rationalizability and equilibrium, J. Econ. Theory 1997
• A definition of uncertainty aversion, Rev. Econ. Stud. 1999
• A revelation principle for competing mechanisms, J. Econ. Theory 1999, with Michael Peters
  
• Are probabilities used in markets? J. Econ. Theory 2000
  
• Subjective probabilities on subjectively unambiguous events, Econometrica 2001, with Jiankang Zhang
• Sharing ambiguity, Amer. Econ. Rev. Proceedings, 2001
• The independence axiom and asset returns, J. Emp. Finan. 2001, with S. Zin
• Ambiguity, risk and asset returns in continuous time, Econometrica 2002, with Zengjing Chen
  
• Recursive multiple-priors, J. Econ. Theory 2003, with Martin Schneider
• An axiomatic model of non-Bayesian updating, Rev. Econ. Stud. 2006
• Coarse contingencies and ambiguity, Theoretical Econ. 2007, with M. Marinacci and K. Seo
• Learning under ambiguity, Rev. Econ. Stud. 2007, with Martin Schneider. Supplementary appendix
• Ambiguity, information quality and asset pricing, J. Finance 2008, with Martin Schneider
• Living with risk, Rev. Econ. Stud., 2008
• 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
• Ambiguous volatility, possibility and utility in continuous time,  J. Math. Econ. 2014, with Shaolin Ji
• De Finetti meets Ellsberg, Research in Economics 2014, with Kyoungwon Seo
• How much would you pay to resolve long-run risk? Amer. Econ. Rev. 2014, with Emmanuel Farhi and Tomasz Strzalecki
• Exchangeable capacities, parameters, and incomplete theories, J. Econ. Theory 2015, with Kyoungwon Seo
• Robust confidence regions for incomplete models,  Econometrica 84 (2016), 1799-1838, with Hiroaki Kaido and Kyoungwon Seo. Supplement
• Ambiguous correlation, Rev. Econ. Stud. 2019, with Yoram Halevy. Previously titled "No two experiments are identical"
• Optimal learning under robustness and time-consistency, Operations Research 2022, with Shaolin Ji
  
• A central limit theorem for sets of measures, Stochastic Processes & their Applications 2022, with Zengjing Chen
• A central limit theorem, loss aversion and multi-armed bandits, J. Econ. Theory 2023, with Zengjing Chen and Guodong Zhang
• Hard-to-interpret signals, J. European Econ. Assoc. 2024, with Yoram Halevy
• Approximate optimality and the risk/reward tradeoff given repeated gambles, Econ. Theory 2024, with Zengjing Chen and Guodong Zhang. Supplementary Appendix
  

Working Papers

• Identifying heterogeneous decision rules from choices when menus are unobserved, with Kaushil Patel. Supplementary Appendix.