On Monotone Recursive Preferences

• 成果类型: Article
• 署名作者: Bommier, Antoine; Kochov, Asen; Le Grand, Francois
• 署名单位: Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Rochester; Swiss Federal Institutes of Technology Domain; ETH Zurich
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA11898
• 发表日期: 2017
• 页码: 1433-1466
• 关键词: risk-aversion; temporal resolution; nonexpected utility; consumption; time; uncertainty; ambiguity; substitution; lotteries; CHOICE

摘要

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.