Existence and Uniqueness of Recursive Utility Models in $L_p$

Flint O'Neil

Papers from arXiv.org

Abstract: Recursive preferences, of the sort developed by Epstein and Zin (1989), play an integral role in modern macroeconomics and asset pricing theory. Unfortunately, it is non-trivial to establish the unique existence of a solution to recursive utility models. We show that the tightest known existence and uniqueness conditions can be extended to (i) Schorfheide, Song and Yaron (2018) recursive utilities and (ii) recursive utilities with `narrow framing'. Further, we sharpen the solution space of Borovicka and Stachurski (2019) from $L_1$ to $L_p$ so that the results apply to a broader class of modern asset pricing models. For example, using $L_2$ Hilbert space theory, we find the class of parameters which generate a unique $L_2$ solution to the Bansal and Yaron (2004) and Schorfheide, Song and Yaron (2018) models.

Date: 2020-05
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2005.07067 Latest version (application/pdf)

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: https://EconPapers.repec.org/RePEc:arx:papers:2005.07067

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().