Additive valuations of streams of payoffs that obey the time-value of money principle: characterization and robust optimization

Abraham Neyman

Discussion Paper Series from The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem

Abstract: This paper characterizes the preferences over bounded infinite utility streams that satisfy the time-value of money principle and an additivity property, and preferences that in addition are impatient. Based on this characterization, the paper introduces a concept of optimization that is robust to a small imprecision in the specification of the preference, and proves that the set of feasible streams of payoffs of a finite Markov decision process admits such a robust optimization.

Pages: 33 pages
Date: 2018-04
New Economics Papers: this item is included in nep-mic and nep-upt
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Citations: View citations in EconPapers (1)

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