论文标题
$ L_P $中的递归实用程序模型的存在和独特性
Existence and Uniqueness of Recursive Utility Models in $L_p$
论文作者
论文摘要
Epstein and Zin（1989）开发的那种递归偏好在现代宏观经济学和资产定价理论中起着不可或缺的作用。不幸的是，建立独特的解决方案以递归实用性模型的独特存在是不平凡的。我们表明，最紧张的存在和独特条件可以扩展到（i）Schorfheide，Song and Yaron（2018）递归公用事业，以及（ii）具有“窄框架”的递归公用事业。此外，我们将Borovicka和Stachurski（2019）的解决方案空间从$ l_1 $降至$ L_P $，以便结果适用于更广泛的现代资产定价模型。例如，使用$ L_2 $ HILBERT空间理论，我们找到了为Bansal and Yaron（2004）和Schorfheide，Song and Yaron（2018）模型生成独特的$ L_2 $解决方案的参数类。
Recursive preferences, of the sort developed by Epstein and Zin (1989), play an integral role in modern macroeconomics and asset pricing theory. Unfortunately, it is non-trivial to establish the unique existence of a solution to recursive utility models. We show that the tightest known existence and uniqueness conditions can be extended to (i) Schorfheide, Song and Yaron (2018) recursive utilities and (ii) recursive utilities with `narrow framing'. Further, we sharpen the solution space of Borovicka and Stachurski (2019) from $L_1$ to $L_p$ so that the results apply to a broader class of modern asset pricing models. For example, using $L_2$ Hilbert space theory, we find the class of parameters which generate a unique $L_2$ solution to the Bansal and Yaron (2004) and Schorfheide, Song and Yaron (2018) models.
