Discrete-time Recursive Utility
نویسندگان
چکیده
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, models involving uncertainty, the turnpike property in multisector models, and properties of Pareto optima and equilibrium in multisector models. Section 1 discusses the limitations of time additive preferences and some of the benefits of using a more general recursive utility specification. Section 2 examines the relation between recursive preferences and the associated aggregator function. A general result on existence of optimal paths is shown in Section 3. Sections 4 and 5 focus on the one-sector model. Existence of optimal paths and dynamic programming is considered in Section 4. Section 5 characterizes optimal paths via the Euler equations and then goes on to prove a one-sector turnpike theorem. Finally, Section 6 takes a brief look at the case where preferences are both homothetic and recursive.
منابع مشابه
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...
متن کاملStochastic differential utility as the continuous-time limit of recursive utility
We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the continuous-time limit of vanishing grid size.
متن کاملANALYSIS OF A DISCRETE-TIME IMPATIENT CUSTOMER QUEUE WITH BERNOULLI-SCHEDULE VACATION INTERRUPTION
This paper investigates a discrete-time impatient customer queue with Bernoulli-schedule vacation interruption. The vacation times and the service times during regular busy period and during working vacation period are assumed to follow geometric distribution. We obtain the steady-state probabilities at arbitrary and outside observer's observation epochs using recursive technique. Cost analysi...
متن کاملQuasi-geometric Discounting: a Closed-form Solution under the Exponential Utility Function
This paper studies a discrete-time utility maximization problem of an infinitely-lived quasi-geometric consumer whose labour income is subject to uninsurable idiosyncratic productivity shocks. We restrict attention to a first-order Markov recursive solution. We show that under the assumption of the exponential utility function, the problem of the quasi-geometric consumer admits a closed-form so...
متن کامل