Solutions for some dynamic problems with uncertainty aversion

Hiroyuki Ozaki, Peter A. Streufert

研究成果: Article査読

3 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)251-283
ページ数33
ジャーナルJapanese Economic Review
52
3
DOI
出版ステータスPublished - 2001
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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