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<p>We show the existence of a Markov perfect equilibrium in a non-stationary stochastic growth model with quasi-hyperbolic discounting and risk-sensitive preferences. Our proof resembles dynamic programming approach and does not involve any fixed point theorem. The risk-sensitive preferences are modelled via certainty equivalents for various utility functions including these implying risk-aversion as well as risk-seeking. Under the additional assumption of stationarity, we are able to prove the existence of a stationary Markov perfect equilibrium using the Schauder fixed point theorem.</p>

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Markov perfect equilibria in stochastic growth models with quasi-hyperbolic discounting and risk-sensitive preferences

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2025年11月6日

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  • Łukasz Balbus,
  • Anna Jaśkiewicz,
  • Andrzej S. Nowak,
  • Łukasz Woźny

摘要

We show the existence of a Markov perfect equilibrium in a non-stationary stochastic growth model with quasi-hyperbolic discounting and risk-sensitive preferences. Our proof resembles dynamic programming approach and does not involve any fixed point theorem. The risk-sensitive preferences are modelled via certainty equivalents for various utility functions including these implying risk-aversion as well as risk-seeking. Under the additional assumption of stationarity, we are able to prove the existence of a stationary Markov perfect equilibrium using the Schauder fixed point theorem.