Efficient intertemporal allocations with recursive utility.
In this article, our objective is to determine efficient allocations in economies with multiple agents having recursive, non-time-additive utility functions. Our main result is to show that in a multi-agent economy, the problem of determining efficient allocations can be characterized in terms of a...
| Published in: | Journal of Economic Theory Vol. 93; no. 2; pp. 240 - 260 |
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| Main Authors: | , , |
| Format: | Article |
| Published: |
Academic Press Inc.
August 2000
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| Subjects: | |
| Online Access: | View this record in EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=513002900&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 513002900 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00220531 RTH jtl: Journal of Economic Theory issn: 00220531 maglogo: N pubinfo: dt: August 2000 vid: 93 iid: 2 pid: 735 pub: Academic Press Inc. artinfo: ui: 513002900 10.1006/jeth.2000.2656 ppf: 240 ppct: 20 formats: tig: atl: Efficient intertemporal allocations with recursive utility. aug: au: Dumas, Bernard Uppal, Raman Wang, Tan su: Utility theory Dynamic programming Resource allocation -- Mathematical models Stochastic processes sug: subj: Utility theory Dynamic programming Resource allocation -- Mathematical models Stochastic processes ab: In this article, our objective is to determine efficient allocations in economies with multiple agents having recursive, non-time-additive utility functions. Our main result is to show that in a multi-agent 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 (D. Duffie et al., 1994, J. Math. Econ. |Wb23[|WB], 133–146). We then show how the single value function can be identified using the familiar technique of stochastic dynamic programming. Journal of Economic Literature Classification Numbers: D81, D61, D91, C61. Copyright 2000 Academic Press. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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