0377685 20240103200954.020120828235959.9 000307520000034 5 s. C cav_un_epca*0377684978-80-225-3426-0201-205BratislavaVydavatelstvo EKONÓM2012ReiffMarian discrete-time Markov decision chains exponential utility functions risk-sensitive coefficient connections between risk-sensitive and risk-neutral models cav_un_auth*0101196 Sladký Karel Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2012/E/sladky-risk-sensitive and risk-neutral optimality in markov decision chains a unified approach.pdf GAP402/11/0150 GA ČR cav_un_auth*0273629 GAP402/10/0956 GA ČR cav_un_auth*0263482 In this note we consider Markov decision chains with finite state space and compact actions spaces where the stream of rewards generated by the Markov processes is evaluated by an exponential utility function (so-called risk-sensitive model) with a given risk sensitivity coefficient. If the risk sensitivity coefficient equals zero (risk-neutral case) we arrive at a standard Markov decision chain. Necessary and sufficient optimality conditions along with equations for average optimal policies both for risk-neutral and risk-sensitive models will be presented and connections and similarity between these approaches will be discussed. cav_un_auth*0281871 Quantitative Methods in Economics (Multiple Criteria Decision Making XVI) Bratislava 30.05.2012-01.06.2012 SK 2013 BB 1 PR AH RVO:67985556 http://hdl.handle.net/11104/0209781 2012 000307520000034 WOS cav_un_epca*0377684 Quantitative Methods in Economics (Multiple Criteria Decision Making XVI) 978-80-225-3426-0 201 205 Quantitative Methods in Economics (Multiple Criteria Decision Making XVI) Bratislava Vydavatelstvo EKONÓM 2012 Reiff Marian 340