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...
| Published in: | Journal of Economic Theory Vol. 125; no. 2; pp. 93 - 151 |
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| Format: | Article |
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Academic Press Inc.
December 2005
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| Online Access: | View this record in EBSCOhost |