On Monotone Recursive Preferences
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Date
2016-07-10
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Working Paper
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Abstract
We explore the set of preferences defined over temporal lotteries in an infinite horizon setting. We provide utility representations for all preferences that are both recursive and monotone. Our results indicate that the class of monotone recursive preferences includes Uzawa and risk-sensitive preferences, but leaves aside several of the recursive models suggested by Epstein and Zin (1989). Our representation result is derived in great generality using Lundberg (1982, 1985)'s work on functional equations.
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published
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2806871
Publisher
Social Science Research Network
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Subject
Recursive utility; Monotonicity; Stationarity; Temporal lotteries; Risk aversion
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03877 - Bommier, Antoine / Bommier, Antoine
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