Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities
给出了Epstein-Zin提出的齐次递归效用模型解存在唯一的充要条件，这些条件围绕一个具有经济含义的检验值展开，并提供了两种计算方法。
ABSTRACT We obtain exact necessary and sufficient conditions for existence and uniqueness of solutions of a class of homothetic recursive utility models postulated by Epstein and Zin. The conditions center on a single test value with a natural economic interpretation. The test sheds light on the relationship between valuation of cash flows, impatience, risk adjustment, and intertemporal substitution of consumption. We propose two methods to compute the test value when an analytical solution is not available. We further provide several applications.