Abstract Recursive utility disentangles preferences with respect to time and risk by recursively building up a value function of local increments. This involves certainty equivalents of indirect utility. Instead we disentangle preferences with respect to time and risk by building up a value function as a non-linear aggregation of certainty equivalents of direct utility of consumption. This entails time-consistency issues which are dealt with by looking for an equilibrium control and an equilibrium value function rather than a classical optimal control and a classical optimal value function. We characterize the solution in a general diffusive incomplete market model and find that, in certain special cases of utmost interest, the characterization coincides with what would arise from a recursive utility approach. But also importantly, in other cases, it does not: The two approaches are fundamentally different but match, exclusively but importantly, in the mathematically special case of homogeneity of the value function.

中文翻译：

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风险和时间偏好的非递归分离

摘要 递归效用通过递归地建立局部增量的价值函数来解开时间和风险方面的偏好。这涉及间接效用的确定性等价物。相反，我们通过建立作为消费直接效用的确定性等价物的非线性聚合的价值函数，来解开与时间和风险相关的偏好。这需要通过寻找平衡控制和平衡价值函数而不是经典最优控制和经典最优价值函数来处理时间一致性问题。我们在一般扩散不完全市场模型中描述了解决方案的特征，并发现在某些最令人感兴趣的特殊情况下，特征与递归效用方法产生的特征相吻合。但同样重要的是，在其他情况下，