Počet záznamů: 1

Separable Utility Functions in Dynamic Economic Models

  1. 1.
    0369897 - UTIA-B 2012 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
    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]
    Grant CEP: GA ČR GAP402/11/0150; GA ČR GAP402/10/0956; GA ČR GAP402/10/1610
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: utiliy functions * decision under uncertainty * dynamic economic models
    Kód oboru RIV: AH - Ekonomie
    http://library.utia.cas.cz/separaty/2011/E/sladky-separable utility functions in dynamic economic models.pdf 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.
    Trvalý link: http://hdl.handle.net/11104/0203855