Economics at your fingertips  

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: E21 C61 C02 C65 D64 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.springer. ... eory/journal/199/PS2

DOI: 10.1007/s00199-019-01221-8

Access Statistics for this article

Economic Theory is currently edited by Nichoals Yanneils

More articles in Economic Theory from Springer, Society for the Advancement of Economic Theory (SAET) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Page updated 2021-05-22
Handle: RePEc:spr:joecth:v:70:y:2020:i:2:d:10.1007_s00199-019-01221-8