Additive valuations of streams of payoffs that obey the time-value of money principle: characterization and robust optimization

Authors: 
Abraham Neyman
Abstract: 

This paper characterizes the preferences over bounded infinite utility streams that satisfy the time-value of money principle and an additivity property, and preferences that in addition are impatient. Based on this characterization, the paper introduces a concept of optimization that is robust to a small imprecision in the specification of the preference, and proves that the set of feasible streams of payoffs of a finite Markov decision process admits such a robust optimization.

Date: 
April, 2018
Number: 
718