Market equilibrium with heterogeneous recursive-utility-maximizing agents

DOI10.1007/BF01212916zbMath0808.90026OpenAlexW4233728411MaRDI QIDQ1338983

Chenghu Ma

Publication date: 15 March 1995

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01212916

zbMATH Keywords

existence and uniquenessportfolio choiceintertemporal utility

Mathematics Subject Classification ID

General equilibrium theory (91B50)

Related Items (12)

Recursive utility with unbounded aggregators ⋮ Survival in speculative markets ⋮ Unique solutions for stochastic recursive utilities ⋮ Incomplete market dynamics and cross-sectional distributions ⋮ Recursive allocations and wealth distribution with multiple goods: Existence, survivorship, and dynamics ⋮ Preferences over location-scale family ⋮ The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility ⋮ Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps ⋮ Corrigendum to: ``Market equilibrium with heterogeneous resursive-utility-maximizing agents ⋮ Attitudes toward the timing of resolution of uncertainty and the existence of recursive utility ⋮ An existence theorem of intertemporal recursive utility in the presence of Lévy jumps ⋮ The dynamics of risk-sensitive allocations

Cites Work

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• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Asset Prices in an Exchange Economy
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Convex Programming and Duality in Normed Space
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets

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