Please use this identifier to cite or link to this item:
https://repositorio.insper.edu.br/handle/11224/5025
Type: | Artigo Científico |
Title: | Choquet expected discounted utility |
Author: | Faro, José Heleno Bastianello, Lorenzo |
Publication Date: | 2022 |
Abstract: | We study intertemporal decision making under uncertainty in a purely subjective framework. The concept of stationarity, introduced by Koopmans for deterministic discounted utility, is naturally extended to a framework with uncertainty and plays a central role for both attitudes towards time and uncertainty. We show that a strong stationarity axiom characterizes discounted expected utility. When considerations about correlations across time between uncertain outcomes are taken into account, a weaker stationarity axiom generalizes discounted expected utility to Choquet expected discounted utility, allowing for non-neutral attitudes towards subjective uncertainty. |
Keywords (english terms): | ambiguity intertemporal choice (choquet) discounted expected utility stationarity serial correlation uncertainty aversion/seekking |
Language: | Inglês |
CNPq Area: | Ciências Sociais Aplicadas |
URI: | https://link.springer.com/article/10.1007/s00199-022-01438-0 |
Copyright: | O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR. |
Notes: | Texto completo |
Appears in Collections: | Coleção de Artigos Científicos |
Files in This Item:
File | Description | Size | Format | |
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R_Artigo_2022_Choquet expected discounted utility_TC.pdf | R_Artigo_2022_Choquet expected discounted utility_TC | 505.06 kB | Adobe PDF | View/Open |
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