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 SizeFormat 
R_Artigo_2022_Choquet expected discounted utility_TC.pdfR_Artigo_2022_Choquet expected discounted utility_TC505.06 kBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.