| bibtype |
K -
Conference Paper (Czech conference)
|
| ARLID |
0346982 |
| utime |
20240103193824.4 |
| mtime |
20101004235959.9 |
| WOS |
000287979900095 |
| title
(primary) (eng) |
Risk-sensitive Ramsey Growth Model |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0346981 |
| ISBN |
978-80-7394-218-2 |
| title
|
28th International Conference on Mathematical Methods in Economics 2010 |
| part_num |
Part II |
| page_num |
560-565 |
| publisher |
| place |
České Budějovice |
| name |
University of South Bohemia in České Budějovice, Faculty of Economy |
| year |
2010 |
|
| editor |
|
| editor |
| name1 |
Friebelová |
| name2 |
Jana |
|
|
| keyword |
economic dynamics |
| keyword |
extended version of the Ramsey growth model |
| keyword |
risk-sensitive Markov decision processes |
| author
(primary) |
| ARLID |
cav_un_auth*0101196 |
| name1 |
Sladký |
| name2 |
Karel |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/08/0107 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0240545 |
|
| project |
| project_id |
GAP402/10/0956 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263482 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
In this note we focus attention on risk-sensitive approach to an extended version of the Ramsey growth model. In contrast to the standard Ramsey model we assume that every splitting of production between consumption and capital accumulation is in uenced by some random factor governed by transition probabilities depending on the current value of the accumulated capital and possibly on some (costly) decisions. Moreover, we assume that also some additional (expensive) interventions of the decision maker are possible for changing the depreciation rate of the capital. Finding optimal policy of the extended model can be then formulated as nding optimal policy of a highly structured Markov decision process. Unfortunately usual optimization criteria for Markov decision processes cannot re ect variability-risk features of the problem. To this end, we indicate how nding policies yielding maximal risksensitive rewards. |
| action |
| ARLID |
cav_un_auth*0263935 |
| name |
28th International Conference on Mathematical Methods in Economics 2010 |
| place |
České Budějovice |
| dates |
08.09.2010-10.09.2010 |
| country |
CZ |
|
| reportyear |
2011 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0187862 |
| arlyear |
2010 |
| mrcbU34 |
000287979900095 WOS |
| mrcbU63 |
cav_un_epca*0346981 28th International Conference on Mathematical Methods in Economics 2010 Part II 978-80-7394-218-2 560 565 České Budějovice University of South Bohemia in České Budějovice, Faculty of Economy 2010 |
| mrcbU67 |
Houda Michal 340 |
| mrcbU67 |
Friebelová Jana 340 |
|