Optimal consumption for recursive preferences with local substitution — the case of certainty

Hanwu Li, Frank Riedel and Shuzhen Yang

Journal of Mathematical Economics, 2024, vol. 110, issue C

Abstract: We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence, uniqueness, and a version of the Kuhn–Tucker theorem. The structure of optimal consumption plans is described explicitly for a large class of aggregators. For Epstein-Zin preferences, the solution coincides with the solution of the corresponding time-additive preferences.

Keywords: Recursive utility; Hindy-Huang-Kreps preference; Intertemporal substitution; Utility maximization (search for similar items in EconPapers)
Date: 2024
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Working Paper: Optimal Consumption for Recursive Preferences with Local Substitution - the Case of Certainty (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:110:y:2024:i:c:s0304406823001258

DOI: 10.1016/j.jmateco.2023.102932

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