英文标题：
《Stochastic Optimal Growth Model with Risk Sensitive Preferences》
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作者：
Nicole B\\\"auerle and Anna Ja\\\'skiewicz
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最新提交年份：
2015
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英文摘要：
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that the agent has risk sensitive preferences in the sense of Hansen and Sargent (1995). Under mild assumptions imposed on the productivity and utility functions we prove that the maximal discounted non-expected utility in the infinite time horizon satisfies the optimality equation and the agent possesses a stationary optimal policy. A new point used in our analysis is an inequality for the so-called associated random variables. We also establish the Euler equation that incorporates the solution to the optimality equation.
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中文摘要：
本文研究了一个i.i.d.生产率冲击允许无界的单部门最优增长模型。假设效用函数是非负的，从上面看是无界的。在我们的框架中，一个新颖的特点是代理人具有Hansen和Sargent（1995）所说的风险敏感偏好。在对生产率和效用函数进行温和假设的情况下，我们证明了无限时间范围内的最大贴现非预期效用满足最优性方程，并且代理具有平稳的最优策略。我们分析中使用的一个新点是所谓的关联随机变量的不等式。我们还建立了包含最优性方程解的欧拉方程。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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