Inspired by experimental evidence, we amend the recursive utility model to let risk aversion decrease with the temporal horizon. Our pseudo-recursive preferences remain tractable and retain appealing features of the long-run risk framework, notably its success at explaining asset pricing moments. In addition, our model addresses two challenges to the standard model. Calibrating the agents’ preferences to explain the equity premium no longer implies an extreme preference for early resolutions of uncertainty. Horizon-dependent risk aversion helps resolve key puzzles in finance on the valuation of assets across maturities and captures the term structure of equity risk premiums and its dynamics. (JEL D03, D90, G02, G12)

中文翻译：

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视域相关的风险规避以及不确定性的时机和定价


受实验证据的启发，我们修改了递归效用模型，让风险厌恶随着时间范围的增加而减少。我们的伪递归偏好仍然易于处理，并保留了长期风险框架的吸引人的特征，特别是它在解释资产定价时刻方面的成功。此外，我们的模型解决了标准模型的两个挑战。调整代理人的偏好来解释股权溢价不再意味着对早期解决不确定性的极端偏好。时间相关的风险厌恶有助于解决金融领域有关跨期限资产估值的关键难题，并捕捉股权风险溢价的期限结构及其动态。 (JEL D03、D90、G02、G12)