Efficient intertemporal allocations with recursive utility

• 成果类型: Article
• 署名作者: Dumas, B; Uppal, R; Wang, T
• 署名单位: INSEAD Business School; University of Pennsylvania; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Pennsylvania; University of British Columbia
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1006/jeth.2000.2656
• 发表日期: 2000
• 页码: 240-259
• 关键词: variational utility; stochastic control; dynamic programming; Bellman equation

摘要

In this article, our objective is to determine efficient allocations in economies with multiple agents having recursive, non-time-additive utility functions. Our main result is to show that in a multi-agent economy, the problem of determining efficient allocations can be characterized in terms of a single value function (that of a social planner), rather than multiple functions (one for each investor), as has been proposed thus far (D. Duffie et al., 1994, J. Math. Econ. 23, 133-146). We then show how the single value function can be identified using the familiar technique of stochastic dynamic programming. (C) 2000 Academic Press.