基尔斯特罗姆-米尔曼连续时间偏好的均衡控制理论

Luca De Gennaro Aquino, Sascha Desmettre, Yevhen Havrylenko, Mogens Steffensen
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引用次数: 0

摘要

在跨时空背景下,基尔斯特伦和米尔曼的多属性效用理论建议应用终生效用指数的凹变换。这种结构虽然允许时间和风险态度分离,但却会导致动态不一致的偏好。我们通过形式化连续时间马尔可夫过程的均衡控制理论,在博弈论的意义上解决了这个问题。我们将均衡策略和价值函数描述为一个扩展的哈密尔顿-雅各比-贝尔曼偏微分方程系统的解。我们验证了这个系统的(解)是均衡的充分条件,并研究了它的一些新特点。一个具有 CRRA-CES 效用的代理的消费-投资问题展示了我们的方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This construction, while allowing time and risk attitudes to be separated, leads to dynamically inconsistent preferences. We address this issue in a game-theoretic sense by formalizing an equilibrium control theory for continuous-time Markov processes. In these terms, we describe the equilibrium strategy and value function as the solution of an extended Hamilton-Jacobi-Bellman system of partial differential equations. We verify that (the solution of) this system is a sufficient condition for an equilibrium and examine some of its novel features. A consumption-investment problem for an agent with CRRA-CES utility showcases our approach.
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