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Efficient intertemporal allocations with recursive utility

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In this article, our objective is to determine efficient allocations in economies with multiple agents having recursive utility functions. out main result is to show that in a multi-agent economy, the problem of determining efficient allocations can be characterized in terms of a single value function (that of a social planner), rather than multiple functions (one for each investor), as has been proposed thus far (Duffie, Geoffard and Skiadas, 1994). We then show how the single value function can be identified using the familiar technique using the familiar technique of stochastic dynamic programming.

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en

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application/pdf

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http://flora.insead.edu/fichiersti_wp/inseadwp1999/99-54.pdf

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Copyright INSEAD. All rights reserved