Non-stationary additive utility and time consistency
在连续时间生命周期消费储蓄模型中，研究了最一般可加跨期效用泛函的性质，严格证明了时间一致性成立当且仅当期效用函数在决策时间和消费时间上可乘性分离，该模型能解释跨期选择中的异常现象。
Within a continuous time life cycle model of consumption and savings, I study the properties of the most general class of additive intertemporal utility functionals. They are not necessarily stationary, and do not necessarily multiplicatively separate a discount factor from “per-period utility”. I prove rigorously that time consistency holds if and only if the per-period felicity function is multiplicatively separable in t, the date of decision and in s, the date of consumption, or equivalently, if the Fisherian instantaneous subjective discount rate does not depend on t. The model allows to explain “anomalies in intertemporal choice” even when the agents are time consistent and various empirical regularities. On the other hand, the model allows to characterize mathematically the “effective consumption profile” of naive, time-inconsistent agents.