Efficient intertemporal allocations with recursive utility.

DOI10.1006/JETH.2000.2656zbMATH Open1145.91327MaRDI QIDQ1587641FDOQ1587641

Authors: Bernard Dumas, Raman Uppal, 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

Recommendations

• Interim efficient allocations under uncertainty
• The dynamics of efficient intertemporal allocations with many agents, recursive preferences, and production
• Efficient and equilibrium allocations with stochastic differential utility
• Optimal intertemporal allocation mechanisms and decentralization of decisions
• The Global Stability of Efficient Intertemporal Allocations
• Discrete-Time Recursive Utility
• Efficient allocations under ambiguity
• The dynamics of optimal wealth distributions with recursive utility
• Efficient combinatorial allocations: individual rationality versus stability
• Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach

zbMATH Keywords

dynamic programmingstochastic controlBellman equationvariational utility

Mathematics Subject Classification ID

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

Cites Work

• Optimal consumption and portfolio selection with stochastic differential utility
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic Differential Utility
• Backward Stochastic Differential Equations in Finance
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Title not available (Why is that?)
• The Global Stability of Efficient Intertemporal Allocations
• Optimal growth with many consumers
• Portfolio choice with non-expected utility in continuous time
• Recursive utility and preferences for information
• Efficient and equilibrium allocations with stochastic differential utility
• Discounting and optimizing: Capital accumulation problems as variational minmax problems
• Structure of Pareto optima in an infinite-horizon economy where agents have recursive preferences
• Optimal growth and Pareto optimality
• Structure of Pareto optima when agents have stochastic recursive preferences

Cited In (18)

• The Global Stability of Efficient Intertemporal Allocations
• The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
• Stochastic growth: a duality approach.
• Brownian equilibria under Knightian uncertainty
• Optimal consumption and portfolio selection with stochastic differential 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
• Optimal contracts in continuous-time models
• A two-person dynamic equilibrium under ambiguity
• The dynamics of efficient intertemporal allocations with many agents, recursive preferences, and production
• Recursive allocations and wealth distribution with multiple goods: existence, survivorship, and dynamics
• Title not available (Why is that?)
• Intertemporal equity and efficient allocation of resources.
• Efficient allocations in dynamic private information economies with persistent shocks: a first-order approach
• Subjective recursive expected utility
• Optimal risk-sharing with effort and project choice
• Non-parametric counterfactual analysis in dynamic general equilibrium
• The dynamics of risk-sensitive allocations

This page was built for publication: Efficient intertemporal allocations with recursive utility.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1587641)