We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We …

utility functions are not concave-shaped but S-shaped. We justify the S shape using consumption-based asset pricing. We show … that various consumption-based asset pricing puzzles arise from the global concavity of the utility functions, and the S …-shaped consumption utility offers a solution. Also, the S-shaped utility helps explain the low elasticity of intertemporal substitution …

symmetry if the latter is generated by a field. Moreover, solving the PDEs yields the functional form for utility equivalent to …, multivariate separability, and homogeneity, including the cases of Cobb-Douglas and CES utility. …

Although the link between risk aversion and diminishing marginal utility of wealth is academically well established …-based support for the concept of relative utility and reconfirmation of the meaningful role of behavioural finance in economics and …

This paper studies a discrete-time utility maximization problem of an infinitely-lived quasi-geometric consumer whose … recursive solution. We show that under the assumption of the exponential utility function, the problem of the quasi …