Efficient Inter-temporal Allocations with Recursive Utility

Details

Serval ID
serval:BIB_3F0B1933B622
Type
Article: article from journal or magazin.
Collection
Publications
Title
Efficient Inter-temporal Allocations with Recursive Utility
Journal
Journal of Economic Theory
Author(s)
Dumas, B., Uppal, R., Wang, T. 
Publication state
Published
Issued date
2000
Volume
93
Number
2
Pages
240-259
Abstract
In this article, our objective is to determine efficient allocations in economies with multiple agents having recursive utility functions. Our main result is to show that in a multiagent 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 (Duffie, Geoffard and Skiadas (1994)). We then show how the single value function can be identified using the familiar technique of stochastic dynamic programming. We achieve these goals by first extending to a stochastic environment Geoffard's (1996) concept of variational utility and his result that variational utility is equivalent to recursive utility, and then using these results to characterize allocations in a multiagent setting.
Create date
19/11/2007 11:17
Last modification date
20/08/2019 14:36
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