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

B-Tier
Journal: Economic Theory
Year: 2020
Volume: 70
Issue: 2
Pages: 551-577

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:spr:joecth:v:70:y:2020:i:2:d:10.1007_s00199-019-01221-8
Journal Field
Theory
Author Count
1
Added to Database
2026-01-24