Separable Utility Functions in Dynamic Economic Models

0369897 - ÚTIA 2012 RIV CZ eng C - Conference Paper (international conference)
Sladký, Karel
Separable Utility Functions in Dynamic Economic Models.
Proceedings of the 29th International Conference Mathematical Methods in Economics. Praha: University of Economics, Prague, Faculty of Informatics and Statistics, 2011 - (Dlouhý, M.; Skočdopolová, V.), s. 629-634. ISBN 978-80-7431-058-4.
[29 mezinárodní konference matematické metody v ekonomii 2011. Janská Dolina (SK), 06.08.2011-09.08.2011]
R&D Projects: GA ČR GAP402/11/0150; GA ČR GAP402/10/0956; GA ČR GAP402/10/1610
Institutional research plan: CEZ:AV0Z10750506
Keywords : utiliy functions * decision under uncertainty * dynamic economic models
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2011/E/sladky-separable utility functions in dynamic economic models.pdf

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.
Permanent Link: http://hdl.handle.net/11104/0203855