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Separable Utility Functions in Dynamic Economic Models

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    SYSNO ASEP0369897
    Document TypeC - Proceedings Paper (int. conf.)
    R&D Document TypeConference Paper
    TitleSeparable Utility Functions in Dynamic Economic Models
    Author(s) Sladký, Karel (UTIA-B) RID
    Number of authors1
    Source TitleProceedings of the 29th International Conference Mathematical Methods in Economics, Part II. - Praha : University of Economics, Prague, Faculty of Informatics and Statistics, 2011 / Dlouhý Martin ; Skočdopolová Veronika - ISBN 978-80-7431-058-4
    Pagess. 629-634
    Number of pages6 s.
    Publication formCD Rom - CD Rom
    Action29 mezinárodní konference matematické metody v ekonomii 2011
    Event date06.08.2011-09.08.2011
    VEvent locationJanská Dolina
    CountrySK - Slovakia
    Event typeEUR
    Languageeng - English
    CountryCZ - Czech Republic
    Keywordsutiliy functions ; decision under uncertainty ; dynamic economic models
    Subject RIVAH - Economics
    R&D ProjectsGAP402/11/0150 GA ČR - Czech Science Foundation (CSF)
    GAP402/10/0956 GA ČR - Czech Science Foundation (CSF)
    GAP402/10/1610 GA ČR - Czech Science Foundation (CSF)
    CEZAV0Z10750506 - UTIA-B (2005-2011)
    UT WOS000309074600104
    AnnotationIn 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.
    WorkplaceInstitute of Information Theory and Automation
    ContactMarkéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
    Year of Publishing2012
Number of the records: 1  

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