The paper shows how fixed-point results for local contractions apply to the study of the existence and uniqueness of recursive utility functions defined on subsets of + and being continuous for a specific topology. Two ...

This paper studies a two-agent strategic model of capital accumulation with heterogeneity in preferences and income shares. Preferences are represented by recursive utility functions that satisfy decreasing marginal ...

In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and a new utility transformation which includes features from the two ...

In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and we propose a particular utility transformation connecting both ...

We study an intertemporal asset pricing model in which a representative consumer maximizes expected utility derived from both the ratio of his consumption to some reference level and this level itself. If the reference ...

This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. ...

In the field of optimal growth theory, since Ramsey's time it is frequent to maximize a welfare function consisting of the discounted sum of instantaneous utilities. Such an optimality criterion implies that preferences ...