Time-Consistency of Indifference Prices and Monetary Utility Functions
Time-Consistency of Indifference Prices and Monetary Utility Functions
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无差异价格与货币效用函数的时间一致性
DOI：
10.2139/ssrn.877313
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
Michael Kupper
中科院分区：
文献类型：
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作者：
Patrick Cheridito;Michael Kupper
我们考虑一个经济主体对一组不确定的货币支付具有动态偏好。我们假设代理的偏好由效用函数给出，随着更多信息的可用，效用函数以时间一致的方式更新。我们的主要结果是，代理人的无差异价格是时间一致的，当且仅当他的偏好可以表示与效用函数是添加剂相对于现金。我们把这种效用函数称为货币效用函数。证明是基于时间一致性的动态效用函数的无差异集的表征。作为特例，我们得到了期望效用导致时间一致无差异价格的充要条件是期望效用是基于线性或指数函数的。
We consider an economic agent with dynamic preference over a set of uncertain monetary payoffs. We assume that the agent's preferences are given by utility functions, which are updated in a time-consistent way as more information is becoming available. Our main result is that the agent's indifference prices are time-consistent if and only if his preferences can be represented with utility functions that are additive with respect to cash. We call such utility functions monetary. The proof is based on a characterization of time-consistency of dynamic utility functions in terms of indifference sets. As a special case, we obtain the result that expected utility leads to time-consistent indifference prices if and only if it is based on a linear or exponential function.
J.Am.Chem.Soc.109。
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