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 |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=511277155&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 511277155 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00220531 RTH jtl: Journal of Economic Theory issn: 00220531 maglogo: N pubinfo: dt: December 2005 vid: 125 iid: 2 pid: 735 pub: Academic Press Inc. artinfo: ui: 511277155 10.1016/j.jet.2004.05.008 ppf: 93 ppct: 58 formats: tig: atl: The dynamics of risk-sensitive allocations. aug: au: Anderson, Evan W. su: Resource allocation -- Mathematical models Welfare economics sug: subj: Resource allocation -- Mathematical models Welfare economics ab: 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. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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