Optimal consumption for recursive preferences with local substitution: The case of certainty

We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence and uniqueness and a version of the Kuhn-Tucker theorem characterizing the optimal consumption plan. An explicit solution is provided for the case when the felicity function is of the Epstein-Zin's type.

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Year of publication:	2022
Authors:	Li, Hanwu ; Riedel, Frank ; Yang, Shuzhen
Publisher:	Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW)
Subject:	Recursive utility \| Hindy-Huang-Kreps preference \| Intertemporal Substitution \| Utility maximization

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Series:	Center for Mathematical Economics Working Papers ; 670
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1822960142 [GVK] hdl:10419/273046 [Handle]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D11 - Consumer Economics: Theory ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice
Source:	EconStor

Persistent link: https://www.econbiz.de/10014304796