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Recursive Utility The traditional approach to consumption-based asset pricing includes time separable (additive) expected utility functions, $$U(C_t,C_{t+1})=u(C_t)+\beta \mathbb{E}_t[u(C_{t+1})],$$ where $\beta<1$ measures impatience (subjective discount factor). That's the first equation in Chapter 1.1. in Cochrane's stellar asset pricing book. This ...


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