We propose an axiomatic approach which economically underpins the representation of dynamic intertemporal decisions in terms of a utility function, which randomly reacts to the information available to the decision maker throughout time. Our construction is iterative and based on time dependent preference connections, whose characterization is inspired by the original intuition given by Debreu’s State Dependent Utilities (1960).

Stochastic dynamic utilities and intertemporal preferences / M. Maggis, A. Maran. - In: MATHEMATICS AND FINANCIAL ECONOMICS. - ISSN 1862-9679. - (2021). [Epub ahead of print]

Stochastic dynamic utilities and intertemporal preferences

M. Maggis
Primo
;
2021

Abstract

We propose an axiomatic approach which economically underpins the representation of dynamic intertemporal decisions in terms of a utility function, which randomly reacts to the information available to the decision maker throughout time. Our construction is iterative and based on time dependent preference connections, whose characterization is inspired by the original intuition given by Debreu’s State Dependent Utilities (1960).
Conditional preferences; Intertemporal decisions; Stochastic dynamic utility; Sure thing principle
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Settore MAT/06 - Probabilita' e Statistica Matematica
21-gen-2021
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/819589
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