Original title: Separable Utility Functions in Dynamic Economic Models
Authors: Sladký, Karel
Document type: Papers
Conference/Event: 29 mezinárodní konference matematické metody v ekonomii 2011, Janská Dolina (SK), 2011-08-06 / 2011-08-09
Year: 2011
Language: eng
Abstract: In this note we study properties of utility functions suitable for performance evaluation of dynamic economic models under uncertainty. At first, we summarize basic properties of utility functions, at second we show how exponential utility functions can be employed in dynamic models where not only expectation but also the risk are considered. Special attention is focused on properties of the expected utility and the corresponding certainty equivalents if the stream of obtained rewards is governed by Markov dependence and evaluated by exponential utility functions.
Keywords: decision under uncertainty; dynamic economic models; utiliy functions
Project no.: CEZ:AV0Z10750506 (CEP), GAP402/11/0150 (CEP), GAP402/10/0956 (CEP), GAP402/10/1610 (CEP)
Funding provider: GA ČR, GA ČR, GA ČR
Host item entry: Proceedings of the 29th International Conference Mathematical Methods in Economics, ISBN 978-80-7431-058-4

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2011/E/sladky-separable utility functions in dynamic economic models.pdf
Original record: http://hdl.handle.net/11104/0203855

Permalink: http://www.nusl.cz/ntk/nusl-81441


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