Recursive utility and jump-diffusions
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- Discussion papers (FOR) 
We derive the equilibrium interest rate and risk premiums using recursive utility for jump-di usions. Compared to to the continuous version, including jumps allows for a separate risk aversion related to jump size risk in addition to risk aversion related to the continuous part. We also consider a version that allows marginal utility to depend on past consumption. The models with jumps are shown to have a potential to give better explanation of empirical regularities than the recursive models based on merely continuous dynamics.