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

Abraham Neyman*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

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.

Original languageEnglish
Pages (from-to)303-340
Number of pages38
JournalTheoretical Economics
Volume18
Issue number1
DOIs
StatePublished - Jan 2023

Bibliographical note

Publisher Copyright:
Copyright © 2023 The Author.

Keywords

  • C72
  • E43
  • infinite streams of payoffs
  • robust optimization
  • utility
  • Valuations

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