The dynamics of risk-sensitive allocations.
This paper describes Pareto optimal allocations when agents have risk-sensitive preferences as formulated by Hansen and Sargent (IEEE Trans. Automat. Control 40(5) (1995) 968-971). Necessary and sufficient conditions are given for the existence and stability of steady states at which Pareto weights...
| Publicado en: | Journal of Economic Theory Vol. 125; no. 2; pp. 93 - 151 |
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| Formato: | Artículo |
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Academic Press Inc.
December 2005
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| Acceso en línea: | Ver este registro en EBSCOhost |
| Sumario: | This paper describes Pareto optimal allocations when agents have risk-sensitive preferences as formulated by Hansen and Sargent (IEEE Trans. Automat. Control 40(5) (1995) 968-971). Necessary and sufficient conditions are given for the existence and stability of steady states at which Pareto weights are time-invariant. When all agents are risk-sensitive with the same power reward function there is a unique interior steady state which is stable when the power is positive and unstable when the power is negative. When there is at least one agent with time-additive preferences eventually all risk-sensitive agents have zero Pareto weights. Copyright (c) 2005 Elsevier Inc. |
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