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 language | English |
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Pages (from-to) | 303-340 |
Number of pages | 38 |
Journal | Theoretical Economics |
Volume | 18 |
Issue number | 1 |
DOIs | |
State | Published - Jan 2023 |
Bibliographical note
Publisher Copyright:Copyright © 2023 The Author.
Keywords
- C72
- E43
- infinite streams of payoffs
- robust optimization
- utility
- Valuations