Karl Schmedders (University of Zurich): "Relative Existence for Recursive Utility"

Existence theorems for endowment economies with growth and sophisticated recursive
preferences have proven difficult to come by. We offer a simple proof technique that
covers many models of interest, such as the Bansal–Yaron long-run risk model, models
with stochastic volatility and jumps, models with volatility of volatility and models with
consumption disasters and time-varying intensities. We also prove existence for models
with smooth ambiguity aversion and learning. Collectively these results cover many of
the leading asset pricing models today.