About: Risk-sensitive Ramsey Growth Model

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Description	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. 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. (en)
Title	Risk-sensitive Ramsey Growth Model Risk-sensitive Ramsey Growth Model (en)
skos:prefLabel	Risk-sensitive Ramsey Growth Model Risk-sensitive Ramsey Growth Model (en)
skos:notation	RIV/67985556:_____/10:00346982!RIV11-GA0-67985556
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GA402/08/0107), P(GAP402/10/0956), Z(AV0Z10750506)
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Sladký, Karel
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	285383
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/10:00346982
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	economic dynamics; extended version of the Ramsey growth model; risk-sensitive Markov decision processes (en)
http://linked.open.../riv/klicoveSlovo	economic dynamics extended version of the Ramsey growth model risk-sensitive Markov decision processes
http://linked.open...ontrolniKodProRIV	[39E83E58E93C]
http://linked.open...v/mistoKonaniAkce	České Budějovice
http://linked.open...i/riv/mistoVydani	České Budějovice
http://linked.open...i/riv/nazevZdroje	28th International Conference on Mathematical Methods in Economics 2010
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Economic Decision Models: Dynamics and Risk Stochastic Economic Models under Uncertainty: Development over Time and Optimization
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Sladký, Karel
http://linked.open...vavai/riv/typAkce	CST - Celostátní
http://linked.open.../riv/zahajeniAkce	2010-09-08 (xsd:date)
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	University of South Bohemia in České Budějovice, Faculty of Economy
https://schema.org/isbn	978-80-7394-218-2
is http://linked.open...avai/riv/vysledek of	Risk-sensitive Ramsey Growth Model Risk-sensitive Ramsey Growth Model Risk-sensitive Ramsey Growth Model

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