This paper studies the Pareto-optimality of the consensual optimum established in "Allais-anonymity as an alternative to the discounted-sum criterion I: consensual optimality" (Mabrouk 2006a). For that, a Pareto-optimality criterion is set up by the application of the generalized Karush, Kuhn...

The class of defensive online portfolio selection algorithms,designed for fi nite investment horizon, is introduced. The Game Constantly Rebalanced Portfolio and the Worst Case Game Constantly Rebalanced Portfolio, are presented and theoretically analyzed. The analysis exploits the rich set of...

We consider a health authority seeking to allocate annual budgets optimally over time to minimize the discounted social cost of infection(s) evolving in a finite set of R = 2 groups. This optimization problem is challenging, since as is well known, the standard epidemiological model describing...

In this paper we study a Markov decision process with a non-linear discount function. Our approach is in spirit of the von Neumann-Morgenstern concept and is based on the notion of expectation. First, we define a utility on the space of trajectories of the process in the finite and infinite time...

This paper generalizes the classical discounted utility model introduced by Samuelson by replacing a constant discount rate with a function. The existence of recursive utilities and their constructions are based on Matkowski's extension of the Banach Contraction Principle. The derived utilities...

The purpose of the present paper is to highlight some features of global dynamics of the two-sector growth model with accumulation of human and physical capital analyzed by Brito, P. and Venditti, A. (2010). In particular, we explore two cases where the Brito-Venditti system admits two balanced...

In this paper, we apply the idea of $k$-local contraction of \cite{zec, zet} to study discounted stochastic dynamic programming models with unbounded returns. Our main results concern the existence of a unique solution to the Bellman equation and are applied to the theory of stochastic optimal...

The objective of this work is to try to define and calculate the optimal growth path, in the presence of exogenous technical change, without resorting to the discounted-sum criterion. The solution suggested is to consider an optimality criterion expressing an Allais-anonymous intergenerational...

This paper presents the functional relationship between two areas of interest in contemporary behavioral economics: one concerning choices under conditions of risk, the other concerning choices in time. The paper first presents the general formula of the relationship between decision utility,...

This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process...