Professor of Economics, McGill University

Professor Emeritus, Boston University

larry.epstein@mcgill.ca

Google Scholar Profile

- 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

- 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
- 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 in a class of bandit
problems, with Zengjing Chen and Guodong Zhang (Revised
Dec 2023)