Abstract
We study intertemporal decision making under uncertainty in a purely subjective framework. The concept of stationarity, introduced by Koopmans for deterministic discounted utility, is naturally extended to a framework with uncertainty and plays a central role for both attitudes towards time and uncertainty. We show that a strong stationarity axiom characterizes discounted expected utility. When considerations about correlations across time between uncertain outcomes are taken into account, a weaker stationarity axiom generalizes discounted expected utility to Choquet expected discounted utility, allowing for non-neutral attitudes towards subjective uncertainty.
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Bastianello, L., Faro, J.H. Choquet expected discounted utility. Econ Theory 75, 1071–1098 (2023). https://doi.org/10.1007/s00199-022-01438-0
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DOI: https://doi.org/10.1007/s00199-022-01438-0
Keywords
- Ambiguity
- Intertemporal choice
- (Choquet) Discounted expected utility
- Stationarity
- Serial correlation
- Uncertainty aversion/seeking