Modeling nonmonotone preferences: the case of utility smoothing (Q553532): Difference between revisions

The author presents an axiomatic model of intertemporal choice in which a strong dislike of volatility involved in a utility sequence causes preferences to be non-monotone. The obtained model is applied to a consumption-saving problem.

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reviewed by

Krzysztof Piasecki

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zbMATH Keywords

discount factor

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gain/loss asymmetry

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non-monotone preferences

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recursive utility

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reference point

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utility smoothing

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jmateco.2011.02.004

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cites work

A Definition of Subjective Probability

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Q2768979

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Maxmin expected utility over Savage acts with a set of priors

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Recursive multiple-priors.

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Intertemporal Asset Pricing under Knightian Uncertainty

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Discounting and optimizing: Capital accumulation problems as variational minmax problems

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Expectation and Variation in Multi-Period Decisions

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Maxmin expected utility with non-unique prior

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Prospect Theory: An Analysis of Decision under Risk

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Temporal Resolution of Uncertainty and Dynamic Choice Theory

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Foundations of Intrinsic Habit Formation

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Q5826088

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Loss aversion in a multi-period model

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Nonmonotonic Choquet integrals

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A Model of Utility Smoothing

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Identifiers

zbMATH Open document ID

1229.91120

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DOI

10.1016/j.jmateco.2011.02.004

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:553532

@@ Property / review text @@
+The author presents an axiomatic model of intertemporal choice in which a strong dislike of volatility involved in a utility sequence causes preferences to be non-monotone. The obtained model is applied to a consumption-saving problem.
+Normal rank
@@ Property / reviewed by @@
+Krzysztof Piasecki
@@ Property / reviewed by: Krzysztof Piasecki / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B16
@@ Property / Mathematics Subject Classification ID: 91B16 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+5933157
@@ Property / zbMATH DE Number: 5933157 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+discount factor
@@ Property / zbMATH Keywords: discount factor / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+gain/loss asymmetry
@@ Property / zbMATH Keywords: gain/loss asymmetry / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+non-monotone preferences
@@ Property / zbMATH Keywords: non-monotone preferences / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+recursive utility
@@ Property / zbMATH Keywords: recursive utility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+reference point
@@ Property / zbMATH Keywords: reference point / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+utility smoothing
@@ Property / zbMATH Keywords: utility smoothing / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmateco.2011.02.004
+Normal rank
@@ Property / OpenAlex ID @@
+W2092864072
@@ Property / OpenAlex ID: W2092864072 / rank @@
+Normal rank
@@ Property / cites work @@
+A Definition of Subjective Probability
@@ Property / cites work: A Definition of Subjective Probability / rank @@
+Normal rank
@@ Property / cites work @@
+Q2768979
@@ Property / cites work: Q2768979 / rank @@
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility over Savage acts with a set of priors
+Normal rank
@@ Property / cites work @@
+Recursive multiple-priors.
@@ Property / cites work: Recursive multiple-priors. / rank @@
+Normal rank
@@ Property / cites work @@
+Intertemporal Asset Pricing under Knightian Uncertainty
+Normal rank
@@ Property / cites work @@
+Discounting and optimizing: Capital accumulation problems as variational minmax problems
+Normal rank
@@ Property / cites work @@
+Expectation and Variation in Multi-Period Decisions
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility with non-unique prior
@@ Property / cites work: Maxmin expected utility with non-unique prior / rank @@
+Normal rank
@@ Property / cites work @@
+Prospect Theory: An Analysis of Decision under Risk
+Normal rank
@@ Property / cites work @@
+Temporal Resolution of Uncertainty and Dynamic Choice Theory
+Normal rank
@@ Property / cites work @@
+Foundations of Intrinsic Habit Formation
@@ Property / cites work: Foundations of Intrinsic Habit Formation / rank @@
+Normal rank
@@ Property / cites work @@
+Q5826088
@@ Property / cites work: Q5826088 / rank @@
+Normal rank
@@ Property / cites work @@
+Loss aversion in a multi-period model
@@ Property / cites work: Loss aversion in a multi-period model / rank @@
+Normal rank
@@ Property / cites work @@
+Nonmonotonic Choquet integrals
@@ Property / cites work: Nonmonotonic Choquet integrals / rank @@
+Normal rank
@@ Property / cites work @@
+A Model of Utility Smoothing
@@ Property / cites work: A Model of Utility Smoothing / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:553532