Optimal Consumption for Recursive Preferences with Local Substitution -- the Case of Certainty
Optimization and Control
2022-11-16 v1
Abstract
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.
Keywords
Cite
@article{arxiv.2211.07801,
title = {Optimal Consumption for Recursive Preferences with Local Substitution -- the Case of Certainty},
author = {Hanwu Li and Frank Riedel and Shuzhen Yang},
journal= {arXiv preprint arXiv:2211.07801},
year = {2022}
}