| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0231 |
| 来源ID | Technical Working Paper 0231 |
| Efficient Intertemporal Allocations with Recursive Utility | |
| Bernard Dumas; Raman Uppal; Tan Wang | |
| 发表日期 | 1998-04-01 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Microeconomics ; Economics of Information ; Welfare and Collective Choice |
| URL | https://www.nber.org/papers/t0231 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564008 |
| 推荐引用方式 GB/T 7714 | Bernard Dumas,Raman Uppal,Tan Wang. Efficient Intertemporal Allocations with Recursive Utility. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0231.pdf（243KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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