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Optimally eating a stochastic cake: a recursive utility approach

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  • Epaulard, Anne
  • Pommeret, Aude

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Article provided by Elsevier in its journal Resource and Energy Economics.

Volume (Year): 25 (2003)
Issue (Month): 2 (May)
Pages: 129-139

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Handle: RePEc:eee:resene:v:25:y:2003:i:2:p:129-139

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Web page: http://www.elsevier.com/locate/inca/505569

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References

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  1. David M Kreps & Evan L Porteus, 1978. "Temporal Resolution of Uncertainty and Dynamic Choice Theory," Levine's Working Paper Archive 625018000000000009, David K. Levine.
  2. Smith, William T., 1996. "Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time," Economics Letters, Elsevier, vol. 53(2), pages 123-131, November.
  3. Gaudet, Gerard & Khadr, Ali M, 1991. "The Evolution of Natural Resource Prices under Stochastic Investment Opportunities: An Intertemporal Asset-Pricing Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(2), pages 441-55, May.
  4. Lund, D., 1990. "Petroleum Taxation under Uncertainty-Contingent Claims Analysis with an Application to Norway," Memorandum 24/1990, Oslo University, Department of Economics.
  5. Maurice Obstfeld, 1992. "Risk-Taking, Global Diversification, and Growth," NBER Working Papers 4093, National Bureau of Economic Research, Inc.
  6. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-57, April.
  7. Pindyck, Robert S, 1980. "Uncertainty and Exhaustible Resource Markets," Journal of Political Economy, University of Chicago Press, vol. 88(6), pages 1203-25, December.
  8. Epstein, Larry G & Zin, Stanley E, 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 263-86, April.
  9. Slade, Margaret E., 1988. "Grade selection under uncertainty: Least cost last and other anomalies," Journal of Environmental Economics and Management, Elsevier, vol. 15(2), pages 189-205, June.
  10. Ekern, Steinar, 1988. "An option pricing approach to evaluating petroleum projects," Energy Economics, Elsevier, vol. 10(2), pages 91-99, April.
  11. Weil, Philippe, 1993. "Precautionary Savings and the Permanent Income Hypothesis," Review of Economic Studies, Wiley Blackwell, vol. 60(2), pages 367-83, April.
  12. Aude Pommeret & Anne Epaulard, 2001. "Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility," IMF Working Papers 01/5, International Monetary Fund.
  13. Glenn C. Loury, 1977. "The Optimal Exploitation of an Unknown Reserve," Discussion Papers 255, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  14. Smith, William T., 1999. "Risk, the Spirit of Capitalism and Growth: The Implications of a Preference for Capital," Journal of Macroeconomics, Elsevier, vol. 21(2), pages 241-262, April.
  15. Keith C. Knapp & Lars J. Olson, 1996. "Dynamic Resource Management: Intertemporal Substitution and Risk Aversion," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(4), pages 1004-1014.
  16. Aude Pommeret & Anne Epaulard, 2001. "Agents' Preferences, the Equity Premium, and the Consumption-Saving Trade-Off," IMF Working Papers 01/117, International Monetary Fund.
  17. Pindyck, Robert S., 1980. "The optimal production of an exhaustible resource when price is exogenous and stochastic," Working papers 1162-80., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  18. Young, Denise & Ryan, David L., 1996. "Empirical testing of a risk-adjusted Hotelling model," Resource and Energy Economics, Elsevier, vol. 18(3), pages 265-289, October.
  19. Epstein, Larry G., 1988. "Risk aversion and asset prices," Journal of Monetary Economics, Elsevier, vol. 22(2), pages 179-192, September.
  20. Lund Diderik, 1993. "The Lognormal Diffusion Is Hardly an Equilibrium Price Process for Exhaustible Resources," Journal of Environmental Economics and Management, Elsevier, vol. 25(3), pages 235-241, November.
  21. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-69, July.
  22. Olsen, Trond E. & Stensland, Gunnar, 1988. "Optimal shutdown decisions in resource extraction," Economics Letters, Elsevier, vol. 26(3), pages 215-218.
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Citations

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Cited by:
  1. BOUCEKKINE, Raouf & POMMERET, Aude, . "Energy saving technical progress and optimal capital stock: the role of embodiment," CORE Discussion Papers RP -1703, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Svenja Hector(), . "Accounting for Different Uncertainties: Implications for Climate Investments?," Working Papers ETH-RC-13-007, ETH Zurich, Chair of Systems Design.
  3. Svenja Hector, 2013. "Accounting for Different Uncertainties: Implications for Climate Investments?," Working Papers 2013.107, Fondazione Eni Enrico Mattei.
  4. Aude POMMERET & William T. SMITH, 2004. "Fertility, Volatility, and Growth," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 04.08, Université de Lausanne, Faculté des HEC, DEEP.
  5. Shaw, W. Douglass & Woodward, Richard T., 2008. "Why environmental and resource economists should care about non-expected utility models," Resource and Energy Economics, Elsevier, vol. 30(1), pages 66-89, January.
  6. Theodoros M. Diasakos, 2012. "A Simple Characterization of Dynamic Completeness in Continuous Time," Discussion Paper Series, Department of Economics 201312, Department of Economics, University of St. Andrews, revised 02 Sep 2013.
  7. Mosiño, Alejandro, 2012. "Producing energy in a stochastic environment: Switching from non-renewable to renewable resources," Resource and Energy Economics, Elsevier, vol. 34(4), pages 413-430.
  8. Bruno de Oliveira Cruz & Aude Pommeret, 2006. "Irreversible Investment With Embodied Technological Progress," Discussion Papers 1171, Instituto de Pesquisa Econômica Aplicada - IPEA.
  9. Coculescu, Delia, 2011. "Dividends and leverage: How to optimally exploit a non-renewable investment," Journal of Economic Dynamics and Control, Elsevier, vol. 35(3), pages 312-329, March.
  10. Smith, William & Son, Young Seob, 2005. "Can the desire to conserve our natural resources be self-defeating?," Journal of Environmental Economics and Management, Elsevier, vol. 49(1), pages 52-67, January.

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