Recursive utility in a Markov environment with stochastic growth: Fig. 1.
نویسندگان
چکیده
منابع مشابه
Recursive utility in a Markov environment with stochastic growth.
Recursive utility models that feature investor concerns about the intertemporal composition of risk are used extensively in applied research in macroeconomics and asset pricing. These models represent preferences as the solution to a nonlinear forward-looking difference equation with a terminal condition. In this paper we study infinite-horizon specifications of this difference equation in the ...
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ژورنال
عنوان ژورنال: Proceedings of the National Academy of Sciences
سال: 2012
ISSN: 0027-8424,1091-6490
DOI: 10.1073/pnas.1200237109