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

Abraham Neyman ()
Additional contact information
Abraham Neyman: Federmann Center for the Study of Rationality, Hebrew University of Jerusalem

Theoretical Economics, 2023, vol. 18, issue 1

Abstract: This paper characterizes those preferences over bounded infinite utility streams that satisfy the time value of money principle and an additivity property, and the subset of these preferences that in addition are either impatient or patient. 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.

Keywords: Valuations; utility; robust optimization; infinite streams of payoffs (search for similar items in EconPapers)
JEL-codes: C72 E43 (search for similar items in EconPapers)
Date: 2023-01-18
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://econtheory.org/ojs/index.php/te/article/viewFile/20230303/35741/1072 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:the:publsh:4784

Access Statistics for this article

Theoretical Economics is currently edited by Simon Board, Todd D. Sarver, Juuso Toikka, Rakesh Vohra, Pierre-Olivier Weill

More articles in Theoretical Economics from Econometric Society
Bibliographic data for series maintained by Martin J. Osborne ().