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arXiv · 2211.07801

Optimal Consumption for Recursive Preferences with Local Substitution -- the Case of Certainty

Hanwu Li·Frank Riedel·Shuzhen Yang
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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.

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Hanwu Li, Frank Riedel, Shuzhen Yang. 2022-11-14. Optimal Consumption for Recursive Preferences with Local Substitution -- the Case of Certainty. https://arxiv.org/abs/2211.07801

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