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On Monotone Recursive Preferences

Author

Listed:
  • Antoine Bommier

    (EM - EMLyon Business School)

  • Asen Kochov
  • François Le Grand

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–Epstein preferences and risk-sensitive preferences, but leaves aside several of the recursive models suggested by Epstein and Zin (1989) and Weil (1990). Our representation result is derived in great generality using Lundberg's (1982, 1985) work on functional equations.

Suggested Citation

  • Antoine Bommier & Asen Kochov & François Le Grand, 2017. "On Monotone Recursive Preferences," Post-Print hal-02311999, HAL.
    • Handle: RePEc:hal:journl:hal-02311999
    as

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