In this study we find an optimal continuous harvest cutting schedule for a stochastically growing forest stand managed by a risk-averse forest owner. The stand in question is even-aged and the owner is strictly interested in monetary rewards. Expected Net Present Value is a commonly used criterion for determining optimal management schedule for stochastically growing forest stands. However, thi...

We analyze optimal consumption and portfolio choice when the agent takes the market as given, with applications to pension insurance. First, we recall the results for the conventional additive and separable expected utility model. We explain why this model is not viable in a temporal context. As a consequence, when confronted with real data this theory meets with several conflicting implication...

We study a class of utility functions that are defined recursively by an aggregator W (x, y) where ut =W (ct, ut+1). In single-agent economies it is known that a sufficient condition for the existence of a balanced growth path is that utility should be homogenous of degree γ. In the context of a multi-agent economy we show that this restriction implies that either a balanced growth equilibrium ...

We analyze the lifetime consumption-portfolio problem in a competitive securities market with continuous price dynamics, possibly nontradeable income, and convex trading constraints. We define a class of ‘‘translation-invariant’’ recursive preferences, which includes additive exponential utility, but also nonadditive recursive and multiple-prior formulations, and allows for first and second-ord...

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...

We explore the utility and execution of recursive queries as an interface for querying distributed network graph structures. To illustrate the power of recursive queries, we give several examples of computing structural properties of a P2P network such as reachability and resilience. To demonstrate the feasibility of our proposal, we sketch execution strategies for these queries using PIER, a P...

We develop general recursive methods to solve for optimal contracts in dynamic principal-agent environments with hidden states and hidden actions. In our baseline model, the principal observes nothing other than transfers. Nevertheless, optimal incentive-constrained insurance can be attained. Starting from a general mechanism with arbitrary communication, randomization, full history dependence,...