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Conference Paper (Czech conference)

Risk-sensitive Ramsey Growth Model

Sladký Karel

: 28th International Conference on Mathematical Methods in Economics 2010, p. 560-565 , Eds: Houda Michal, Friebelová Jana

: 28th International Conference on Mathematical Methods in Economics 2010, (České Budějovice, CZ, 08.09.2010-10.09.2010)

: CEZ:AV0Z10750506

: GA402/08/0107, GA ČR, GAP402/10/0956, GA ČR

: economic dynamics, extended version of the Ramsey growth model, risk-sensitive Markov decision processes

: http://library.utia.cas.cz/separaty/2010/E/sladky-risk-sensitive ramsey growth model.pdf

(eng): In this note we focus attention on risk-sensitive approach to an extended version of the Ramsey growth model. In contrast to the standard Ramsey model we assume that every splitting of production between consumption and capital accumulation is in uenced by some random factor governed by transition probabilities depending on the current value of the accumulated capital and possibly on some (costly) decisions. Moreover, we assume that also some additional (expensive) interventions of the decision maker are possible for changing the depreciation rate of the capital. Finding optimal policy of the extended model can be then formulated as nding optimal policy of a highly structured Markov decision process. Unfortunately usual optimization criteria for Markov decision processes cannot re ect variability-risk features of the problem. To this end, we indicate how nding policies yielding maximal risksensitive rewards.

: AH

07.01.2019 - 08:39