Efficient Inter-temporal Allocations with Recursive Utility

Détails

ID Serval
serval:BIB_87C395E57B8A
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Efficient Inter-temporal Allocations with Recursive Utility
Périodique
Journal of Economic Theory
Auteur(s)
Dumas, B., Uppal, R., Wang, T. 
Statut éditorial
Publié
Date de publication
2000
Volume
93
Numéro
2
Pages
240-259
Résumé
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.
Création de la notice
19/11/2007 11:38
Dernière modification de la notice
03/03/2018 19:03
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