This paper introduces a parametric class of Kreps Porteus preferences that yield closed form solutions to dynamic stochastic choice problems. These preferences are applied to a simple stochastic macroeconomic model which relaxes the representative agent assumption. This example is designed to illustrate one of the many possible ways in which these preferences may be useful to both theoretical and applied researchers
Abstract: This paper discusses the problem of specifying probabilistic models for choices (strategi...
This paper presents conditions for the existence and properties of stochastic differential utility a...
The technical treatment of these tools will enable the student to handle current journal literature,...
This paper presents a class of preferences that yield closed-form solutions to dynamic stochastic ch...
This paper presents a class of preferences that yield closed-form solutions tc dynamic stochastic ch...
We find a closed form solution that maximises the expected utility of an agent’s inter-temporal cons...
In this paper we compare the standard dynamic programming method for the derivation of closed form s...
This paper develops a new method for constructing approximate solutions to discrete time, infinite h...
The problem of revealed stochastic preference is whether probability distributions of observed choic...
This paper introduces, within the context of an infinite optimal consumption problem, a parametric c...
We provide a repeated-choice foundation for stochastic choice. We obtain necessary and sufficient co...
This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a co...
This paper presents a new model of probabilistic binary choice under risk. In this model, a decision...
This paper proposes a tractable way to model boundedly rational dynamic programming. The agent uses ...
In this survey, we show that various stochastic optimization problems arising in option theory, in d...
Abstract: This paper discusses the problem of specifying probabilistic models for choices (strategi...
This paper presents conditions for the existence and properties of stochastic differential utility a...
The technical treatment of these tools will enable the student to handle current journal literature,...
This paper presents a class of preferences that yield closed-form solutions to dynamic stochastic ch...
This paper presents a class of preferences that yield closed-form solutions tc dynamic stochastic ch...
We find a closed form solution that maximises the expected utility of an agent’s inter-temporal cons...
In this paper we compare the standard dynamic programming method for the derivation of closed form s...
This paper develops a new method for constructing approximate solutions to discrete time, infinite h...
The problem of revealed stochastic preference is whether probability distributions of observed choic...
This paper introduces, within the context of an infinite optimal consumption problem, a parametric c...
We provide a repeated-choice foundation for stochastic choice. We obtain necessary and sufficient co...
This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a co...
This paper presents a new model of probabilistic binary choice under risk. In this model, a decision...
This paper proposes a tractable way to model boundedly rational dynamic programming. The agent uses ...
In this survey, we show that various stochastic optimization problems arising in option theory, in d...
Abstract: This paper discusses the problem of specifying probabilistic models for choices (strategi...
This paper presents conditions for the existence and properties of stochastic differential utility a...
The technical treatment of these tools will enable the student to handle current journal literature,...