Time discounting under uncertainty

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Tác giả: Lorenzo Bastianello, José Heleno Faro

Ngôn ngữ: eng

Ký hiệu phân loại: 529.76 Chronology

Thông tin xuất bản: 2019

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Bộ sưu tập: Metadata

ID: 163557

We study intertemporal decision making under uncertainty. We fully characterize discounted expected utility in a framework \`a la Savage. Despite the popularity of this model, no characterization is available in this setting. The concept of stationarity, introduced by Koopmans for deterministic discounted utility, plays a central role for both attitudes towards time and towards uncertainty. We show that a strong stationarity axiom characterizes discounted expected utility. When hedging considerations are taken into account, a weaker stationarity axiom generalizes discounted expected utility to Choquet discounted expected utility, allowing for non-neutral attitudes towards uncertainty.
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