Discounted Utility and Present Value—A Close Relation

Published Online:https://doi.org/10.1287/opre.2015.1433

References

  • Ahlbrecht M, Weber M (1997) An empirical study on intertemporal decision making under risk. Management Sci. 43(6):813–826.LinkGoogle Scholar
  • Alcantud JCR, Dubey RS (2014) Ordering infinite utility streams: Efficiency, continuity, and no impatience. Math. Soc. Sci. 72:33–40.CrossrefGoogle Scholar
  • Attema AE (2012) Developments in time preference and their implications for medical decision making. J. Oper. Res. Soc. 63:1388–1399.CrossrefGoogle Scholar
  • Basu K, Mitra T (2007) Utilitarianism for infinite utility streams: A new welfare criterion and its axiomatic characterization. J. Econom. Theory 133:350–373.CrossrefGoogle Scholar
  • Baucells M, Heukamp FH (2012) Probability and time trade-off. Management Sci. 58(4):831–842.LinkGoogle Scholar
  • Baucells M, Sarin RK (2007) Satiation in discounted utility. Oper. Res. 55(1):170–181.LinkGoogle Scholar
  • Bleichrodt H, Rohde KIM, Wakker PP (2008) Koopmans’ constant discounting for intertemporal choice: A simplification and a generalization. J. Math. Psychol. 52:341–347.CrossrefGoogle Scholar
  • Broome JR (1991) Weighing Goods (Basil Blackwell, Oxford, UK).Google Scholar
  • Campbell JY, Shiller RJ (1987) Cointegration and tests of present value models. J. Political Econom. 95:1062–1088.CrossrefGoogle Scholar
  • Chateauneuf A, Wakker PP (1993) From local to global additive representation. J. Math. Econom. 22:523–545.CrossrefGoogle Scholar
  • de Finetti B (1937) La prévision: Ses lois logiques, ses sources subjectives. Annales de l’Institut Henri Poincaré 7:1–68.Google Scholar
  • de Wit J (1671) Waardije van Lyf-Renten naer Proportie van Los-Renten (The Worth of Life Annuities Compared to Redemption Bonds).Google Scholar
  • Debreu G (1960) Topological methods in cardinal utility theory. Arrow KJ, Karlin S, Suppes P, eds. Mathematical Methods in the Social Sciences (Stanford University Press, Stanford, CA), 16–26.Google Scholar
  • Dolan P, Kahneman D (2008) Interpretations of utility and their implications for the valuation of health. Econom. J. 118:215–234.Google Scholar
  • Epper T, Fehr-Duda H, Bruhin A (2011) Viewing the future through a warped lens: Why uncertainty generates hyperbolic discounting. J. Risk and Uncertainty 43:163–203.CrossrefGoogle Scholar
  • Fisher I (1930) The Theory of Interest (Macmillan, New York).Google Scholar
  • Frederick S, Loewenstein GF, O’Donoghue T (2002) Time discounting and time preference: A critical review. J. Econom. Literature 40:351–401.CrossrefGoogle Scholar
  • Gold MR, Siegel JE, Russell LB, Weinstein MC (1996) Cost-Effectiveness in Health and Medicine (Oxford University Press, New York).CrossrefGoogle Scholar
  • Gorman WM (1968) The structure of utility functions. Rev. Econom. Stud. 35:367–390.CrossrefGoogle Scholar
  • Gravel N, Marchant T, Sen A (2012) Uniform expected utility criteria for decision making under ignorance or objective ambiguity. J. Math. Psychol. 56:297–315.CrossrefGoogle Scholar
  • Harvey CM (1995) Proportional discounting of future costs and benefits. Math. Oper. Res. 20(2):381–399.LinkGoogle Scholar
  • Hübner R, Suck R (1993) Algebraic representation of additive structure with an infinite number of components. J. Math. Psychol. 37:629–639.CrossrefGoogle Scholar
  • Hull JC (2013) Options, Futures, and Other Derivatives, 9th ed. (Prentice-Hall, Englewood Cliffs, NJ).Google Scholar
  • Ingersoll JE, Ross SA (1992) Waiting to invest: Investment and uncertainty. J. Bus. 65:1–29.CrossrefGoogle Scholar
  • Jevons WS (1871) The Theory of Political Economy (Macmillan, London).Google Scholar
  • Ju N, Miao J (2012) Ambiguity, learning, and asset returns. Econometrica 80:559–591.CrossrefGoogle Scholar
  • Keller LR, Kirkwood CW (1999) The founding of INFORMS: A decision analysis perspective. Oper. Res. 47(1):16–28.LinkGoogle Scholar
  • Keskin U (2015) Characterizing non-classical models of intertemporal choice by present values, mimeo; http://www.bilgi.edu.tr/site_media/uploads/staff/umut-keskin/publications/presentvalue-nonclassicalmodels.pdf.Google Scholar
  • Koopmans TC (1960) Stationary ordinal utility and impatience. Econometrica 28:287–309.CrossrefGoogle Scholar
  • Kopylov I (2010) Simple axioms for countably additive subjective probability. J. Math. Econom. 46:867–876.CrossrefGoogle Scholar
  • Krantz DH, Luce RD, Suppes P, Tversky A (1971) Foundations of Measurement, Vol. I, Additive and Polynomial Representations (Academic Press, New York).Google Scholar
  • Laibson DI (1997) Golden eggs and hyperbolic discounting. Quart. J. Econom. 112:443–477.CrossrefGoogle Scholar
  • LeRoy SF, Porter RD (1981) The present-value relation: Tests based on implied variance bounds. Econometrica 49:555–574.CrossrefGoogle Scholar
  • Loewenstein GF, Prelec D (1993) Preferences for sequences of outcomes. Psychol. Rev. 100:91–108.CrossrefGoogle Scholar
  • Luce RD (2000) Utility of Gains and Losses: Measurement-Theoretical and Experimental Approaches (Lawrence Erlbaum Publishers, London).Google Scholar
  • Luhmann CC (2013) Discounting of delayed rewards is not hyperbolic. J. Experiment. Psychol.: Learn. Memory Cognition 39:1274–1279.CrossrefGoogle Scholar
  • Maccheroni F, Marinacci M, Rustichini A (2006) Dynamic variational preference. J. Econom. Theory 128:4–44.CrossrefGoogle Scholar
  • Marinacci M (1998) An axiomatic approach to complete patience and time invariance. J. Econom. Theory 83:105–144.CrossrefGoogle Scholar
  • Parfit D (1984) Reasons and Persons (Clarendon Press, Oxford, UK).Google Scholar
  • Pelsser A, Stadje M (2014) Time-consistent and market-consistent evaluations. Math. Finance 24:25–65.CrossrefGoogle Scholar
  • Pigou AC (1920) The Economics of Welfare, 1952 ed. (Macmillan, London).Google Scholar
  • Pivato M (2014) Additive representation of separable preferences over infinite products. Theory Decision 73:31–83.CrossrefGoogle Scholar
  • Ramsey FP (1928) A mathematical theory of saving. Econom. J. 38:543–559.Google Scholar
  • Rawls J (1971) A Theory of Justice (Harvard University Press, Cambridge, MA).Google Scholar
  • Samuelson PA (1937) A note on measurement of utility. Rev. Econom. Stud. 4:155–161.CrossrefGoogle Scholar
  • Savage LJ (1954) The Foundations of Statistics (Wiley, New York).Google Scholar
  • Smith JE (1998) Evaluating income streams: A decision analysis approach. Management Sci. 44(12-part-1):1690–1708.LinkGoogle Scholar
  • Smith JE, McCardle KF (1999) Options in the real world: Lessons learned in evaluating oil and gas investments. Oper. Res. 47(1):1–15.LinkGoogle Scholar
  • Soman D, Ainslie G, Frederick S, Li X, Lynch J, Moreau P, Mitchell A, Read D, Sawyer A, Trope Y, Wertenbroch K, Zauberman G (2005) The psychology of intertemporal discounting: Why are distant events valued differently from proximal ones? Marketing Lett. 16:347–360.CrossrefGoogle Scholar
  • Streufert PA (1995) A general theory of separability for preferences defined on a countably infinite product space. J. Math. Econom. 24:407–434.CrossrefGoogle Scholar
  • Strotz RH (1956) Myopia and inconsistency in dynamic utility maximization. Rev. Econom. Stud. 23(3):165–180.CrossrefGoogle Scholar
  • Takeuchi K (2010) Non-parametric test of time consistency: Present bias and future bias. Games Econom. Behav. 71:456–478.CrossrefGoogle Scholar
  • Tsuchiya A, Dolan P (2005) The QALY model and individual preferences for health states and health profiles over time: A systematic review of the literature. Medical Decision Making 25:460–467.CrossrefGoogle Scholar
  • Wakker PP (1986) The repetitions approach to characterize cardinal utility. Theory Decision 20:33–40.CrossrefGoogle Scholar
  • Wakker PP (1989) Additive Representations of Preferences, A New Foundation of Decision Analysis (Kluwer, Dordrecht, Netherlands).CrossrefGoogle Scholar
  • Wakker PP (2010) Prospect Theory for Risk and Ambiguity (Cambridge University Press, Cambridge, UK).CrossrefGoogle Scholar
  • Wakker PP, Zank H (1999) State dependent expected utility for savage’s state space; or: Bayesian statistics without prior probabilities. Math. Oper. Res. 24(1):8–34.LinkGoogle Scholar
  • Wilcox NT (2008) Stochastic models for binary discrete choice under risk: A critical primer and econometric comparison. Cox JC, Harrison GW, eds. Risk Aversion in Experiments; Research in Experimental Economics 12 (Emerald, Bingley, UK), 197–292.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.