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Risk-sensitive Ramsey Growth Model
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SYSNO ASEP 0346982 Druh ASEP K - Konferenční příspěvek (lokální konf.) Zařazení RIV Stať ve sborníku Název Risk-sensitive Ramsey Growth Model Tvůrce(i) Sladký, Karel (UTIA-B) RID Zdroj.dok. 28th International Conference on Mathematical Methods in Economics 2010, Part II. - České Budějovice : University of South Bohemia in České Budějovice, Faculty of Economy, 2010 / Houda Michal ; Friebelová Jana - ISBN 978-80-7394-218-2
S. 560-565Poč.str. 6 s. Akce 28th International Conference on Mathematical Methods in Economics 2010 Datum konání 08.09.2010-10.09.2010 Místo konání České Budějovice Země CZ - Česká republika Typ akce CST Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova economic dynamics ; extended version of the Ramsey growth model ; risk-sensitive Markov decision processes Vědní obor RIV AH - Ekonomie CEP GA402/08/0107 GA ČR - Grantová agentura ČR GAP402/10/0956 GA ČR - Grantová agentura ČR CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000287979900095 Anotace In this note we focus attention on risk-sensitive approach to an extended version of the Ramsey growth model. In contrast to the standard Ramsey model we assume that every splitting of production between consumption and capital accumulation is in uenced by some random factor governed by transition probabilities depending on the current value of the accumulated capital and possibly on some (costly) decisions. Moreover, we assume that also some additional (expensive) interventions of the decision maker are possible for changing the depreciation rate of the capital. Finding optimal policy of the extended model can be then formulated as nding optimal policy of a highly structured Markov decision process. Unfortunately usual optimization criteria for Markov decision processes cannot re ect variability-risk features of the problem. To this end, we indicate how nding policies yielding maximal risksensitive rewards. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2011
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