满足货币时间价值原则的收益流的加性估值:表征和鲁棒优化

IF 1.2 3区经济学 Q3 ECONOMICS

Theoretical Economics Pub Date : 2023-01-01 DOI:10.3982/te4784

A. Neyman

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引用次数: 1

摘要

本文刻画了在有限无限效用流上满足货币时间价值原则和可加性的偏好，以及这些偏好的子集，这些偏好要么是不耐烦的，要么是耐心的。在此基础上，引入了在偏好规范中具有小不精确鲁棒性的优化概念，并证明了有限马尔可夫决策过程的可行收益流集允许这种鲁棒性优化。

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Additive valuations of streams of payoffs that satisfy the time value of money principle: A characterization and robust optimization

This paper characterizes those preferences over bounded infinite utility streams that satisfy the time value of money principle and an additivity property, and the subset of these preferences that, in addition, are either impatient or patient. Based on this characterization, the paper introduces a concept of optimization that is robust to a small imprecision in the specification of the preference, and proves that the set of feasible streams of payoffs of a finite Markov decision process admits such a robust optimization.

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来源期刊

Theoretical Economics ECONOMICS-

CiteScore

2.40

自引率

5.90%

发文量

审稿时长

52 weeks

期刊介绍： Theoretical Economics publishes leading research in economic theory. It is published by the Econometric Society three times a year, in January, May, and September. All content is freely available. It is included in the Social Sciences Citation Index