Paolo, Paolo Vitale Author-Name-First - Dipartimento di Economia e Finanza (DEF), Libera … - 2013
We propose a general framework for the analysis of dynamic optimization with risk- averse agents, extending WhittleÕs (Whittle, 1990) formulation of risk-sensitive optimal control problems to accommodate time-discounting. We show how, within a Markovian set-up, optimal risk-averse behavior is...