Epstein-Zin preferences separate risk aversion from the intertemporal elasticity of substitution in asset pricing models

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SUPPORTED

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Asset pricing models frequently use Epstein-Zin preferences specifically to separate risk aversion from the intertemporal elasticity of substitution.

The analysis

The retrieved literature consistently confirms that Epstein-Zin preferences are defined by and utilized for their ability to separate risk aversion from the intertemporal elasticity of substitution in economic and asset pricing models.

Evidence for · 2

Declining CO<sub>2</sub> price paths.

Recorded source metadata

Daniel KD, Litterman RB, Wagner G. Declining CO<sub>2</sub> price paths.. 2019. https://doi.org/10.1073/pnas.1817444116

The paper utilizes an Epstein-Zin specification precisely because it enables a framework that delinks preferences over risk from intertemporal substitution.

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More for · 1

An Asset Pricing Model with Time-Varying Elasticity of Intertemporal Substitution

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Aleksandar Georgiev Georgiev. An Asset Pricing Model with Time-Varying Elasticity of Intertemporal Substitution. 2004. https://doi.org/10.2139/ssrn.486130

The paper discusses the separation of the two characteristics of preferences—risk aversion and the elasticity of intertemporal substitution—as introduced by Epstein and Zin.

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first checked01 Aug 2026

judged → SUPPORTED · 8101 Aug 2026

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