| bibtype |
K -
Conference Paper (Czech conference)
|
| ARLID |
0493556 |
| utime |
20240103220515.1 |
| mtime |
20180920235959.9 |
| title
(primary) (eng) |
Risk-sensitive and Mean Variance Optimality in Continuous-time Markov Decision Chains |
| specification |
| page_count |
6 s. |
| media_type |
C |
|
| serial |
| ARLID |
cav_un_epca*0493555 |
| ISBN |
978-80-7378-371-6 |
| title
|
36th International Conference Mathematical Methods in Economics |
| page_num |
497-512 |
| publisher |
| place |
Praha |
| name |
MatfyzPress |
| year |
2018 |
|
| editor |
| name1 |
Váchová |
| name2 |
Lucie |
|
| editor |
| name1 |
Kratochvíl |
| name2 |
Václav |
|
|
| keyword |
continuous-time Markov decision chains |
| keyword |
exponential utility functions |
| keyword |
certainty equivalent |
| keyword |
mean-variance optimality |
| keyword |
connections between risk-sensitive and risk-neutral optimality |
| author
(primary) |
| ARLID |
cav_un_auth*0101196 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
100 |
| name1 |
Sladký |
| name2 |
Karel |
| institution |
UTIA-B |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0363963 |
| project_id |
GA18-02739S |
| agency |
GA ČR |
|
| abstract
(eng) |
In this note we consider continuous-time Markov decision processes with finite state and actions spaces where the stream of rewards generated by the Markov processes is evaluated by an exponential utility function with a given risk sensitivitycoefficient (so-called risk-sensitive models). If the risk sensitivity coefficient equals zero (risk-neutral case) we arrive at a standard Markov decision process. Then we can easily obtain necessary and sufficient mean reward optimality conditions and the variability can be evaluated by the mean variance of total expected rewards. For the risk-sensitive case, i.e. if the risk-sensitivity coefficient is non-zero, for a given value of the risk-sensitivity coefficient we establish necessary and sufficient optimality conditions for maximal (or minimal) growth rate of expectation of the exponential utility function, along with mean value of the corresponding certainty equivalent. Recall that in this case along with the total reward also its higher moments are taken into account. |
| action |
| ARLID |
cav_un_auth*0363994 |
| name |
36th International Conference Mathematical Methods in Economics |
| dates |
20180912 |
| mrcbC20-s |
20180914 |
| place |
Jindřichův Hradec |
| country |
CZ |
|
| RIV |
BB |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50201 |
| reportyear |
2019 |
| num_of_auth |
1 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0286979 |
| confidential |
S |
| arlyear |
2018 |
| mrcbU63 |
cav_un_epca*0493555 36th International Conference Mathematical Methods in Economics 978-80-7378-371-6 497 512 Praha MatfyzPress 2018 |
| mrcbU67 |
340 Váchová Lucie |
| mrcbU67 |
340 Kratochvíl Václav |
|