光滑模糊模型的动态一致性和矩形性

IF 1.4 3区经济学 Q3 ECONOMICS

Journal of Economic Theory Pub Date : 2025-03-04 DOI:10.1016/j.jet.2025.105991

Andrei Savochkin , Alexander Shklyaev , Alexey Galatenko

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引用次数: 0

摘要

我们研究了动态环境下的平滑模糊决策准则，以了解它何时能满足动态一致性和结果主义性质。这些特性允许人们递归地重写决策准则，并通过动态规划求解最优决策。我们的结果通过类似于Epstein和Schneider（2003）的maxmin模型的矩形条件来表征具有这些属性的可能性。与此同时，我们表明动态一致性和结果主义可以在比人们希望的更窄的场景中实现平滑模糊偏好。

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Dynamic consistency and rectangularity for the smooth ambiguity model

We study the Smooth Ambiguity decision criterion in the dynamic setting to understand when it can satisfy the Dynamic Consistency and Consequentialism properties. These properties allow one to rewrite the decision criterion recursively and solve for optimal decisions by Dynamic Programming. Our result characterizes the possibility of having these properties through a condition that resembles Epstein and Schneider's (2003) rectangularity condition for the maxmin model. At the same time, we show that Dynamic Consistency and Consequentialism can be achieved for Smooth Ambiguity preferences in a narrower set of scenarios than one would hope for.

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来源期刊

Journal of Economic Theory ECONOMICS-

CiteScore

2.50

自引率

12.50%

发文量

135

期刊介绍： The Journal of Economic Theory publishes original research on economic theory and emphasizes the theoretical analysis of economic models, including the study of related mathematical techniques. JET is the leading journal in economic theory. It is also one of nine core journals in all of economics. Among these journals, the Journal of Economic Theory ranks fourth in impact-adjusted citations.