Recursive Utility and Thompson Aggregators, Ii: Uniqueness of the Recursive Utility Representation

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...

Recursive Vector Expected Utility

This paper proposes and axiomatizes a recursive version of the vector expected utility (VEU) decision model (Siniscalchi, 2009). Recursive VEU preferences are dynamically consistent and “consequentialist.” Dynamic consistency implies standard Bayesian updating of the baseline (reference) prior in the VEU representation, but imposes no constraint on the adjustment functions and one-step-ahead ad...

Discrete-time Recursive Utility

This paper focuses on the fundamentals of discrete-time models using recursive utility. We examine the relation between preferences, utility, and aggregator, the existence of optimal paths, and several notions of impatience. In the one-sector model, we characterize optimal paths and derive a turnpike theorem. Topics beyond the scope of this paper include continuous time recursive utility, model...

Robust control and recursive utility

This paper shows that a finite-horizon version of the robust control criterion appearing in recent papers by Hansen, Sargent, and their coauthors can be described as recursive utility, which in continuous time takes the form of the Stochastic Differential Utility (SDU) of Duffie and Epstein (1992). While it has previously been noted that Bellman equations arising in robust control settings are ...

Recursive Utility : Discrete Time Theory ∗