Convex dynamic programming with (bounded) recursive utility

Consumption-Based Asset Pricing with Recursive Utility

In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...

Dynamic Volatility Strategy with Recursive Utility

In this article, an analytical approximate solution method is given to provide investors with the means to make optimal consumption and portfolio choices with recursive utility in a complete market. The investment opportunity set is stochastic over time. The method is used to provide an exact determination of the unit elasticity of intertemporal substitution. An approximate solution method is d...

Recursive utility and optimal growth with bounded or unbounded returns

In this paper we propose a unifying approach to the study of recursive economic problems. Postulating an aggregator function as the fundamental expression of tastes, we explore conditions under which a utility function can be constructed. We also modify the usual dynamic programming arguments to include this class of models. We show that Bellman’s equation still holds, so many results known for...

Evaluating Answer Set Programming with Non-Convex Recursive Aggregates

Aggregation functions are widely used in answer set programming (ASP) for representing and reasoning on knowledge involving sets of objects collectively. These sets may also depend recursively on the results of the aggregation functions, even if so far the support for such recursive aggregations was quite limited in ASP systems. In fact, recursion over aggregates was restricted to convex aggreg...

Dynamic Programming on Graphs with Bounded Treewidth