Efficient intertemporal allocations with recursive utility

In this article, our objective is to determine efficient allocations in economies with multiple agents having recursive, non-time-additive utility functions. Our main result is to show that in a multi-agent economy, the problem of determining efficient allocations can be characterized in terms of a single value function (that of a social planner), rather than multiple functions (one for each investor), as has been proposed thus far (D. Duffie et al., 1994, J. Math. Econ. 23, 133-146). We then show how the single value function can be identified using the familiar technique of stochastic dynamic programming. (C) 2000 Academic Press.