On Monotone Recursive Preferences - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Econometrica Année : 2017

On Monotone Recursive Preferences

Résumé

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.

Dates et versions

hal-02311999 , version 1 (26-02-2020)

Identifiants

Citer

Antoine Bommier, Asen Kochov, François Le Grand. On Monotone Recursive Preferences. Econometrica, 2017, 85 (5), 1433-1466 p. ⟨10.3982/ECTA11898⟩. ⟨hal-02311999⟩

Collections

EMLYON
16 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More