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Economics Homepage

Economics Department Faculty

Larry Epstein

Elmer B. Milliman Professor of Economics
Office: Harkness 214
Phone: (585) 275-4320
Email: lepn@troi.cc.rochester.edu

Ph.D. University of British Columbia, 1977

Research Interests: Decision Theory, Mathematical Economics, Asset Pricing

Selected Papers and Publications:

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• "Stationary cardinal utility and optimal growth under uncertainty," Journal of Economic Theory 31 (1983), 133-52.
• "Substitution, risk aversion and the temporal behavior of consumption and asset returns: a theoretical framework," Econometrica 57 (1989), 937-69 (with S. Zin).
• "Quadratic social welfare functions," Journal of Political Economy 99 (1992), 263-86 (with U. Segal).
• "Stochastic differential utility," Econometrica 60 (1992), 353-394 (with D.Duffie).
• "Intertemporal asset pricing under Knightian uncertainty," Econometrica 62 (1994), 283-322 (with T. Wang).
• "A revelation principle for competing mechanisms," Journal of Economic Theory 88 (1999), 119-160 (with M. Peters).
• "Are probabilities used in markets?" Journal of Economic Theory 91 (2000), 86-90. Available in PDF
• "Subjective probabilities on subjectively unambiguous events," Econometrica 69 (2001), 265-306 (with Jiankang Zhang). Available in PDF.
• "The core of large differentiable TU-games," Journal of Economic Theory, 100 (2001), 235-273 (with Massimo Marinacci). Available in PDF.
• "Sharing ambiguity," American Economic Review 91 (2001), 45-50. Available in PDF.
• "Ambiguity, risk and asset returns in continuous time," Econometrica 70 (2002), 1403-1443 (with Zengjing Chen). Available in PDF.
• "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control 27 (2003), 1253-1288 (with JianJun Miao). Available in PDF
• "Recursive multiple-priors," Journal of Economic Theory 113 (2003), 1-31 (with Martin Schneider). Available in PDF.
• "IID: independently and indistinguishably distributed," Journal of Economic Theory 113 (2003), 32-50 (with Martin Schneider). Available in PDF.
• "An axiomatic model of non-Bayesian updating," Review of Economic Studies 73 (2006), 413-436. Available in PDF.
• "Mutual absolute continuity of multiple priors,'' forthcoming in Journal of Economic Theory (with Massimo Marinacci). Available in PDF.
• "Ambiguity, information quality and asset pricing," forthcoming in Journal of Finance (with Martin Schneider). Available in PDF.
• "Learning under ambiguity," forthcoming in Review of Economic Studies (with Martin Schneider). Available in PDF. Also available in PDF is a Supplementary Appendix.

Working Papers:

• "Coarse contingencies," Revised February 2007 (with Massimo Marinacci and Kyoungwon Seo). Available in PDF.
• "Non-Bayesian updating: a theoretical framework," Revised June 2006 (with Jawwad Noor, and Alvaro Sandroni). Available in PDF.
• "An axiomatic model of 'cold feet'," January 2007 (with Igor Kopylov). Available in PDF.
• "Living with risk,'' Revised February 2007. Available in PDF.
• "Subjective states : a more robust model,'' Revised April 2007 (with Kyoungwon Seo). Available in PDF.

[ Vita ]