期刊名称：Proceedings of the National Academy of Sciences
印刷版ISSN：0027-8424
电子版ISSN：1091-6490
出版年度：2012
卷号：109
期号：30
页码：11967-11972
DOI：10.1073/pnas.1200237109
语种：English
出版社：The National Academy of Sciences of the United States of America
摘要：Recursive utility models that feature investor concerns about the intertemporal composition of risk are used extensively in applied research in macroeconomics and asset pricing. These models represent preferences as the solution to a nonlinear forward-looking difference equation with a terminal condition. In this paper we study infinite-horizon specifications of this difference equation in the context of a Markov environment. We establish a connection between the solution to this equation and to an arguably simpler Perron-Frobenius eigenvalue equation of the type that occurs in the study of large deviations for Markov processes. By exploiting this connection, we establish existence and uniqueness results. Moreover, we explore a substantive link between large deviation bounds for tail events for stochastic consumption growth and preferences induced by recursive utility.
