0

In this paper, we study consumption decisions under risk assuming a prioritarian social welfare function, namely a concave transformation of individual utility functions. Under standard assumptions, there is always more current consumption under ex ante prioritarianism than under utilitarianism. Thus, a concern for equity (in the ex ante prioritarian sense) means less concern for the risky futu...

In this paper, we study a time-inconsistent consumption-investment problem with random endowments in possibly incomplete market under general discount functions. We provide necessary condition and verification theorem for an open-loop equilibrium pair terms of coupled forward-backward stochastic differential equation. Moreover, prove the uniqueness by showing that original is equivalent to asso...

Carroll and Kimball (1996) have shown that, in the class of utility functions that are strictly increasing, concave, nonnegative third derivatives, hyperbolic absolute risk aversion (HARA) is sufficient for concavity consumption general consumption-saving problems. This paper shows HARA necessary, implying not a robust prediction outside class.

In this paper, we study consumption decisions under risk assuming a prioritarian social welfare function, namely a concave transformation of individual utility functions. Under standard assumptions, there is always more current consumption under ex ante prioritarianism than under utilitarianism. Thus, a concern for equity (in the ex ante prioritarian sense) means less concern for the risky futu...