TY  - JOUR
AU  - Dumas,Bernard
AU  - Uppal,Raman
AU  - Wang,Tan
TI  - Efficient Intertemporal Allocations with Recursive Utility
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 231
PY  - 1998
Y2  - April 1998
UR  - http://www.nber.org/papers/t0231
L1  - http://www.nber.org/papers/t0231.pdf
N1  - Author contact info:
Bernard Dumas
INSEAD
boulevard de Constance
77305 Fontainebleau Cedex
FRANCE
Tel: +33 1 60 72 43 73
Fax:  +33 1 60 72 40 50
E-Mail: bernard.dumas@insead.edu

Raman Uppal
EDHEC Business School
10 Fleet Place, Ludgate
London EC4M 7RB
United Kingdom
Tel: +44 20 7871 6740
E-Mail: ruppal@mac.com
AB  - In this article, our objective is to determine efficient allocations in economies with multiple agents having recursive utility functions.  Our main result is to show that in a multiagent 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 of stochastic dynamic programming.  We achieve these goals by first extending to a stochastic environment Geoffard's (1996) concept of variational utility and his result that variational utility is equivalent to recursive utility, and then using these results to characterize allocations in a multiagent setting.
ER  -