We study intertemporal decision making under uncertainty in a purely subjective framework. The concept of stationarity, introduced by Koopmans for deterministic discounted utility, is naturally extended to a framework with uncertainty and plays a central role for both attitudes towards time and uncertainty. We show that a strong sta- tionarity axiom characterizes discounted expected utility. When considerations about correlations across time between uncertain outcomes are taken into account, a weaker stationarity axiom generalizes discounted expected utility to Choquet expected dis- counted utility, allowing for non-neutral attitudes towards subjective uncertainty.

Choquet expected discounted utility

Lorenzo Bastianello
;
2022

Abstract

We study intertemporal decision making under uncertainty in a purely subjective framework. The concept of stationarity, introduced by Koopmans for deterministic discounted utility, is naturally extended to a framework with uncertainty and plays a central role for both attitudes towards time and uncertainty. We show that a strong sta- tionarity axiom characterizes discounted expected utility. When considerations about correlations across time between uncertain outcomes are taken into account, a weaker stationarity axiom generalizes discounted expected utility to Choquet expected dis- counted utility, allowing for non-neutral attitudes towards subjective uncertainty.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10278/5003215
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