Stochastic optimal growth model with risk sensitive preferences
From MaRDI portal
Publication:1693187
DOI10.1016/j.jet.2017.11.005zbMath1400.91321arXiv1509.05638OpenAlexW2260348749MaRDI QIDQ1693187
Anna Jaśkiewicz, Nicole Bäuerle
Publication date: 11 January 2018
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.05638
Related Items
Dynamic Programming Deconstructed: Transformations of the Bellman Equation and Computational Efficiency ⋮ Unbounded dynamic programming via the Q-transform ⋮ Regime switching optimal growth model with risk sensitive preferences ⋮ Discrete-time risk-aware optimal switching with non-adapted costs ⋮ Dynamic programming with value convexity ⋮ Time-consistent equilibria in dynamic models with recursive payoffs and behavioral discounting ⋮ Markov perfect equilibria in OLG models with risk sensitive agents ⋮ Asset pricing with time preference shocks: existence and uniqueness ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ On recursive utilities with non-affine aggregator and conditional certainty equivalent ⋮ Stochastic dynamic programming with non-linear discounting ⋮ Markov decision processes with recursive risk measures ⋮ Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes ⋮ Existence of Nash equilibria in stochastic games of resource extraction with risk-sensitive players ⋮ Dynamic reinsurance in discrete time minimizing the insurer's cost of capital ⋮ Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Seeking ergodicity in dynamic economies
- Small noise methods for risk-sensitive/robust economies
- Markov decision processes with applications to finance.
- Discounted dynamic programming with unbounded returns: application to economic models
- Stochastic games with unbounded payoffs: applications to robust control in economics
- Optimal growth models with bounded or unbounded returns: A unifying approach
- Recursive utility and the Ramsey problem
- The dynamics of risk-sensitive allocations
- Stochastic optimal growth with a non-compact state space
- Markov programming by successive approximations with respect to weighted supremum norms
- Dynamic programming with homogeneous functions
- Discounting long run average growth in stochastic dynamic programs
- Doubts and variability: a robust perspective on exotic consumption series
- Stability of stochastic optimal growth models: a new approach
- On dynamic programming with unbounded returns
- Existence of stationary Markov perfect equilibria in stochastic altruistic growth economies
- On discounted dynamic programming with unbounded returns
- Recursive robust estimation and control without commitment
- Stochastic optimal growth with bounded or unbounded utility and with bounded or unbounded shocks
- Dynamic programming for non-additive stochastic objectives
- Existence and Uniqueness of a Fixed Point for Local Contractions
- Corrigendum to ``Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case Econometrica, Vol. 71, No. 5 (September, 2003), 1519-1555
- Markov Chains and Stochastic Stability
- Minimizing a Submodular Function on a Lattice
- Stochastic stability in monotone economies
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Discounted linear exponential quadratic Gaussian control
- Robust Markov Perfect Equilibria in a Dynamic Choice Model with Quasi-hyperbolic Discounting
- Precautionary Savings and the Permanent Income Hypothesis
- Stochastic finance. An introduction in discrete time