On Monotone Recursive Preferences

Antoine Bommier, Asen Kochov and François Le Grand
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Antoine Bommier: ETH Zürich - Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology [Zürich]
François Le Grand: EM - EMLyon Business School, ETH Zürich - Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology [Zürich]

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Abstract: We explore the set of preferences defined over temporal lotteries in an infinite horizon setting. We provide utility representations for all preferences that are both recursive and monotone. Our results indicate that the class of monotone recursive preferences includes Uzawa–Epstein preferences and risk-sensitive preferences, but leaves aside several of the recursive models suggested by Epstein and Zin (1989) and Weil (1990). Our representation result is derived in great generality using Lundberg's (1982, 1985) work on functional equations.

Keywords: Recursive utility; monotonicity; stationarity (search for similar items in EconPapers)
Date: 2017-09-01
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Citations: View citations in EconPapers (25)

Published in Econometrica, 2017, 85 (5), 1433-1466 p. ⟨10.3982/ECTA11898⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02311999

DOI: 10.3982/ECTA11898

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