A Characterization of the Optimal Certainty Equivalent of the Average Cost via the Arrow-Pratt Sensitivity Function
Published Online:27 Jul 2015https://doi.org/10.1287/moor.2015.0723
References
- (1965) Aspects of the Theory of Risk-Bearing, Yrjo Jahnsson Lectures (Yro Jahnssonin Saatio, Helsinki, Finland).Google Scholar
- (2011) Markov Decision Processes with Applications to Finance (Springer, New York).Crossref, Google Scholar
- (2014) More risk-sensitive Markov decision processes. Math. Oper. Res. 39(1):105–120.Link, Google Scholar
- (2002) Risk-sensitive control in communicating average Markov decision chains. Dror M, L’Ecuyer P, Szidarovsky F, eds. Modelling Uncertainty: An Examination of Stochastic Theory, Methods and Applications (Kluwer, Boston), 525–544.Crossref, Google Scholar
- (1980) An ɛ-optimal control of a finite Markov chain with an average reward criterion. Theory Probab. Appl. 25:70–81.Crossref, Google Scholar
- (1972) Risk-sensitive markov decision processes. Management Sci. 18(7):356–369.Link, Google Scholar
- (1983) Portfolio turnpike theorems, risk aversion, and regularly varying utility functions. Econometrica 51:1345–1361.Crossref, Google Scholar
- (1972) On turnpike portfolios. Szegő GP, Shell K, eds. Mathematical Methods in Investment and Finance (North-Holland, Amsterdam), 24–33.Google Scholar
- (1964) Risk aversion in the small and in the large. Econometrica 32:122–136.Crossref, Google Scholar
- (1994) Markov Decision Processes (John Wiley & Sons, New York).Crossref, Google Scholar
- (1981) Some stronger measures of risk aversion in the small and the large with applications. Econometrica 49:621–638.Crossref, Google Scholar

