Recursive Utility and the Ramsey Problem∗
نویسنده
چکیده
This paper examines existence, continuity and characterization of optimal paths under “recursive” preferences. Current utility is a fixed (aggregator) function of current consumption and future utility. For suitable aggregators, a useful refinement of the Contraction Mapping Theorem generates the utility function, as in Lucas and Stokey. A broader class of aggregators is handled via a limiting argument analogous to partial summation. The Weierstrass theorem yields the existence of optimal paths. Under somewhat more stringent conditions on the aggregator and technology, optimal paths are continuous in initial capital stocks, and are characterized by generalized Euler equations and a transversality condition. Journal of Economic Literature Classification Numbers: 022, 111, 213.
منابع مشابه
Consumption-Based Asset Pricing with Recursive Utility
In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
متن کاملInvestigating the Role of real Money Balances in Households' Preferences function in the Framework of the Assets Pricing Models (M-CCAPM): Case study of Iran
In this paper, we try to develop and modify the basic model of the consumption-based capital asset pricing model by adding the growth in real money balances rate as a risk factor in the household's utility function as (M-CCAPM). For this purpose, two forms of utility function with constant relative risk aversion (CRRA) preferences and recursive preferences have been used such that M1 and M2 are...
متن کاملThe Threshold for Ackermannian Ramsey Numbers
For a function g : N → N, the g-regressive Ramsey number of k is the least N so that N min −→ (k)g. This symbol means: for every c : [N ] → N that satisfies c(m, n) ≤ g(min{m, n}) there is a min-homogeneous H ⊆ N of size k, that is, the color c(m, n) of a pair {m, n} ⊆ H depends only on min{m, n}. It is known ([4, 5]) that Id-regressive Ramsey numbers grow in k as fast as Ack(k), Ackermann’s fu...
متن کاملBi-objective Build-to-order Supply Chain Problem with Customer Utility
Taking into account competitive markets, manufacturers attend more customer’s personalization. Accordingly, build-to-order systems have been given more attention in recent years. In these systems, the customer is a very important asset for us and has been paid less attention in the previous studies. This paper introduces a new build-to-order problem in the supply chain. This study focuses on bo...
متن کاملSharp thresholds for the phase transition between primitive recursive and Ackermannian Ramsey numbers
We compute the sharp thresholds on g at which g-large and g-regressive Ramsey numbers cease to be primitive recursive and become Ackermannian. We also identify the threshold below which g-regressive colorings have usual Ramsey numbers, that is, admit homogeneous, rather than just min-homogeneous sets.
متن کامل