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Separable Utility Functions in Dynamic Economic Models
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SYSNO ASEP 0369897 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title Separable Utility Functions in Dynamic Economic Models Author(s) Sladký, Karel (UTIA-B) RID Number of authors 1 Source Title Proceedings 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 Pages s. 629-634 Number of pages 6 s. Publication form CD Rom - CD Rom Action 29 mezinárodní konference matematické metody v ekonomii 2011 Event date 06.08.2011-09.08.2011 VEvent location Janská Dolina Country SK - Slovakia Event type EUR Language eng - English Country CZ - Czech Republic Keywords utiliy functions ; decision under uncertainty ; dynamic economic models Subject RIV AH - Economics R&D Projects GAP402/11/0150 GA ČR - Czech Science Foundation (CSF) GAP402/10/0956 GA ČR - Czech Science Foundation (CSF) GAP402/10/1610 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000309074600104 Annotation 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2012
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