0393337 20240103202653.320140314235959.9 6 s. P cav_un_epca*0395722978-80-87035-76-4JihlavaCollege of Polytechnics Jihlava2013VojáčkováHana dynamic programming stochastic models risk analysis and management 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/2013/E/sladky-cumulative optimality in risk-sensitive and risk-neutral markov reward chains.pdf GA13-14445S GA ČR cav_un_auth*0292652 GAP402/11/0150 GA ČR cav_un_auth*0273629 This contribution is devoted to risk-sensitive and risk-neutral optimality in Markov decision chains. Since the traditional optimality criteria (e.g. discounted or average rewards) cannot reflect the variability-risk features of the problem, and using the mean variance selection rules that stem from the classical work of Markowitz present some technical difficulties, we are interested in expectation of the stream of rewards generated by the Markov chain that is evaluated by an exponential utility function with a given risk sensitivity coefficient. Recall that for the risk sensitivity coefficient equal zero we arrive at¨traditional optimality criteria. In this note we present necessary and sufficient risk-sensitivity and risk-neutral optimality conditions; in detail for unichain models and indicate their generalization to multichain Markov reward chains. cav_un_auth*0292039 MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./ Jihlava 11.09.2013-13.09.2013 CZ 2014 BB 1 PR RVO:67985556 http://hdl.handle.net/11104/0222069 1 S 2013 cav_un_epca*0395722 Proceedings of the 31st International Conference Mathematical Methods in Economics 2013 978-80-87035-76-4 Jihlava College of Polytechnics Jihlava 2013 Vojáčková Hana 340