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

• 成果类型: Article
• 署名作者: Neyman, Abraham
• 署名单位: Hebrew University of Jerusalem
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE4784
• 发表日期: 2023-01-01
• 页码: 303-340
• 关键词: Valuations; utility; robust optimization; infinite streams of payoffs; C72; E43

摘要

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.