TY  - JOUR
SN  - 0022-0531
Y1  - 2022/03//
TI  - Existence and uniqueness of recursive utilities without boundedness
AV  - public
N2  - This paper derives primitive, easily verifiable sufficient conditions for existence and uniqueness of (stochastic) recursive utilities for several important classes of preferences. In order to accommodate models commonly used in practice, we allow both the state space and per-period utilities to be unbounded. For many of the models we study, existence and uniqueness is established under a single, primitive ?thin tail? condition on the distribution of growth in per-period utilities. We present several applications to robust preferences, models of ambiguity aversion and learning about hidden states, and Epstein?Zin preferences.
ID  - discovery10152942
UR  - https://doi.org/10.1016/j.jet.2022.105413
VL  - 200
N1  - This version is the author accepted manuscript. For information on re-use, please refer to the publisher?s terms and conditions.
A1  - Christensen, Timothy M
PB  - Elsevier BV
JF  - Journal of Economic Theory
KW  - Stochastic recursive utility
KW  -  Ambiguity
KW  -  Model uncertainty
KW  -  Existence
KW  -  Uniqueness
ER  -