Efficient intertemporal allocations with recursive utility.

DOI10.1006/JETH.2000.2656zbMath1145.91327MaRDI QIDQ1587641

Raman Uppal, Bernard Dumas, Tan Wang

Publication date: 3 December 2000

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/t0231.pdf

zbMATH Keywords

dynamic programmingBellman equationstochastic controlvariational utility

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Optimal stochastic control (93E20)

Related Items (13)

Optimal risk-sharing with effort and project choice ⋮ Subjective recursive expected utility ⋮ Dynamic choice with constant source-dependent relative risk aversion ⋮ Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available ⋮ Stochastic growth: a duality approach. ⋮ Optimal consumption and portfolio selection with stochastic differential utility ⋮ Recursive allocations and wealth distribution with multiple goods: Existence, survivorship, and dynamics ⋮ Optimal contracts in continuous-time models ⋮ A two-person dynamic equilibrium under ambiguity ⋮ Brownian equilibria under Knightian uncertainty ⋮ Non-parametric counterfactual analysis in dynamic general equilibrium ⋮ The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations ⋮ The dynamics of risk-sensitive allocations

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