On recursive utilities with non-affine aggregator and conditional certainty equivalent

Łukasz Balbus

Economic Theory, 2020, vol. 70, issue 2, No 8, 577 pages

Abstract: Abstract In this paper, we consider the problem of the existence and the uniqueness of a recursive utility function defined on intertemporal lotteries. The purpose of this paper is to provide the results of the existence and the uniqueness of a recursive utility function. The utility function is obtained as the limit of iterations on a nonlinear operator and is independent on initial starting points, with iterations converging at an exponential rate. We also find the maximum utility and an optimal strategy by means of iterations of the Bellman operator.

Keywords: Recursive utilities; Dynamic programming; Epstein–Zin preferences; Certainty equivalent; Solid cone; Attracting property (search for similar items in EconPapers)
JEL-codes: C02 C61 C65 D64 E21 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (8)

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DOI: 10.1007/s00199-019-01221-8

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