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

Łukasz Balbus ()
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Łukasz Balbus: University of Zielona Góra

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: E21 C61 C02 C65 D64 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s00199-019-01221-8

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