### Abstract

In a discounted expected-utility problem, tomorrow's utilities are aggregated across tomorrow's states by the expectation operator. In our problems, this aggregation is accomplished by a Choquet integral of the form ∫udpa, where a specifies uncertainty aversion. We solve all finite-state problems by either a closed form or a finite-dimensional iteration, and show that uncertainty aversion reduces the perceived return on investment, thereby decreasing the saving rate given elastic preferences and increasing the saving rate given inelastic preferences. JEL Classification Numbers: C61, D81, D9.

Original language | English |
---|---|

Pages (from-to) | 251-283 |

Number of pages | 33 |

Journal | Japanese Economic Review |

Volume | 52 |

Issue number | 3 |

Publication status | Published - 2001 |

Externally published | Yes |

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### ASJC Scopus subject areas

- Economics and Econometrics

### Cite this

*Japanese Economic Review*,

*52*(3), 251-283.

**Solutions for some dynamic problems with uncertainty aversion.** / Ozaki, Hiroyuki; Streufert, Peter A.

Research output: Contribution to journal › Article

*Japanese Economic Review*, vol. 52, no. 3, pp. 251-283.

}

TY - JOUR

T1 - Solutions for some dynamic problems with uncertainty aversion

AU - Ozaki, Hiroyuki

AU - Streufert, Peter A.

PY - 2001

Y1 - 2001

N2 - In a discounted expected-utility problem, tomorrow's utilities are aggregated across tomorrow's states by the expectation operator. In our problems, this aggregation is accomplished by a Choquet integral of the form ∫udpa, where a specifies uncertainty aversion. We solve all finite-state problems by either a closed form or a finite-dimensional iteration, and show that uncertainty aversion reduces the perceived return on investment, thereby decreasing the saving rate given elastic preferences and increasing the saving rate given inelastic preferences. JEL Classification Numbers: C61, D81, D9.

AB - In a discounted expected-utility problem, tomorrow's utilities are aggregated across tomorrow's states by the expectation operator. In our problems, this aggregation is accomplished by a Choquet integral of the form ∫udpa, where a specifies uncertainty aversion. We solve all finite-state problems by either a closed form or a finite-dimensional iteration, and show that uncertainty aversion reduces the perceived return on investment, thereby decreasing the saving rate given elastic preferences and increasing the saving rate given inelastic preferences. JEL Classification Numbers: C61, D81, D9.

UR - http://www.scopus.com/inward/record.url?scp=0034859654&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0034859654&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:0034859654

VL - 52

SP - 251

EP - 283

JO - Japanese Economic Review

JF - Japanese Economic Review

SN - 1352-4739

IS - 3

ER -