Additive Valuations of Streams of Payoffs That Obey the Time-Value of Money Principle: Characterization and Robust Optimization
Speaker
Abraham Neyman
Date
20/10/2015 - 12:30 - 11:00Add To Calendar
2015-10-20 11:00:00
2015-10-20 12:30:00
Additive Valuations of Streams of Payoffs That Obey the Time-Value of Money Principle: Characterization and Robust Optimization
Abstract: This paper characterizes the additive functions on the bounded infinite utility streams that satisfy the time-value of money principle and those that in addition are impatient. In addition, the paper introduces the concept of a set of feasible streams to admit optimization that is robust to small imprecision in the specification of the valuation, and proves that the set of feasible streams of payoffs of a finite Markov Decision Process admits such a robust optimization.
Economics building (No. 504), room 011
אוניברסיטת בר-אילן - Department of Economics
Economics.Dept@mail.biu.ac.il
Asia/Jerusalem
public
Place
Economics building (No. 504), room 011
Affiliation
Hebrew University
Abstract
Abstract: This paper characterizes the additive functions on the bounded infinite utility streams that satisfy the time-value of money principle and those that in addition are impatient. In addition, the paper introduces the concept of a set of feasible streams to admit optimization that is robust to small imprecision in the specification of the valuation, and proves that the set of feasible streams of payoffs of a finite Markov Decision Process admits such a robust optimization.
Last Updated Date : 07/10/2015
