Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/296412 
Authors: 
Year of Publication: 
2023
Citation: 
[Journal:] Theoretical Economics [ISSN:] 1555-7561 [Volume:] 18 [Issue:] 1 [Year:] 2023 [Pages:] 303-340
Publisher: 
The Econometric Society, New Haven, CT
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.
Subjects: 
infinite streams of payoffs
robust optimization
utility
Valuations
JEL: 
C72
E43
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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