Intertemporal utility smoothing under uncertainty

This paper axiomatizes a recursive utility model that captures both intertemporal utility smoothing defined across time and ambiguity aversion defined over states. The resulting representation adapts Wakai (2008) model of intertemporal utility smoothing as an aggregator function, where the utility of the certainty equivalent of future uncertainty is computed by Gilboa and Schmeidler (1989) multiple‐priors utility. The model also permits the separation of intertemporal utility smoothing from ambiguity aversion.