Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences
提出一种新方法，证明或证伪多种递归偏好资产定价模型（如长期消费风险、随机波动与跳跃、时变消费灾难、平滑模糊厌恶与学习）中财富消费比率解的存在性与唯一性，为当前主流模型的存在性问题提供定论。
Abstract Modern asset pricing models combine recursive preferences with complex dynamics for the underlying consumption process. The existence of solutions is for many of these models an unsettled question. This paper introduces a novel technique to prove existence and nonexistence, as well as uniqueness for models with recursive preferences. The approach applies to many models of interest, including those with long-run consumption risks, with stochastic volatility and jumps, with time-varying consumption disasters, and with smooth ambiguity aversion and learning. Collectively, the proven results settle the existence question for many of today’s leading asset pricing models.