0490663 20240103220150.420180626235959.9 000455265500044 7 s. P cav_un_epca*0490662978-80-89962-07-5325-331BratislavaUniversity of Economics, Bratislava2018ReiffMartinGežíkPavel Discrete-time Markov reward chains exponential utility moment generating functions formulae for central moments cav_un_auth*0101196 Ekonometrie Department of Econometrics E E Department of Econometrics 100 Sladký Karel UTIA-B K Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2018/E/sladky-0490663.pdf cav_un_auth*0363963 GA18-02739S GA ČR There is no doubt that usual optimization criteria examined in the literature on optimization of Markov reward processes, e.g. total discounted or mean reward, may be quite insufficient to characterize the problem from the point of the decision maker. To this end it is necessary to select more sophisticated criteria that reflect also the variability-risk features of the problem (cf. Cavazos-Cadena and Fernandez-Gaucherand (1999), Cavazos-Cadena and Hernández-Hernández (2005), Howard and Matheson (1972), Jaquette (1976), Kawai (1987), Mandl (1971), Sladký (2005),(2008),(2013), van Dijk and Sladký (2006), White (1988)). In the present paper we consider unichain Markov reward processes with finite state spaces and assume that the generated reward is evaluated by an exponential utility function. Using the Taylor expansion we present explicit formulae for calculating variance and higher central moments of the total reward generated by the Markov reward chain along with its asymptotic behavior and the growth rates if the considered time horizon tends to infinity. cav_un_auth*0361941 Quantitative Methods in Economics: Multiple Criteria Decision Making XIX 20180523 20180525 Trenčianské Teplice SK BB 50000 50200 50202 2019 1 PR RVO:67985556 http://hdl.handle.net/11104/0286786 S n.a. Proceedings Paper Economics 2018 SCOPUS PUBMED 000455265500044 WOS cav_un_epca*0490662 Quantitative Methods in Economics: Multiple Criteria Decision Making XIX University of Economics, Bratislava 2018 Bratislava 325 331 978-80-89962-07-5 340 Reiff Martin 340 Gežík Pavel