Citation:
Neyman, Abraham . “Additive Valuations Of Streams Of Payoffs That Obey The Time-Value Of Money Principle: Characterization And Robust Optimization”. Discussion Papers 2018. Web.
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.