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Statements

Subject Item
n2:RIV%2F67985556%3A_____%2F10%3A00346982%21RIV11-GA0-67985556
rdf:type
skos:Concept n18:Vysledek
dcterms: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.
dcterms:title
Risk-sensitive Ramsey Growth Model Risk-sensitive Ramsey Growth Model
skos:prefLabel
Risk-sensitive Ramsey Growth Model Risk-sensitive Ramsey Growth Model
skos:notation
RIV/67985556:_____/10:00346982!RIV11-GA0-67985556
n3:aktivita
n9:Z n9:P
n3:aktivity
P(GA402/08/0107), P(GAP402/10/0956), Z(AV0Z10750506)
n3:dodaniDat
n21:2011
n3:domaciTvurceVysledku
n5:6105955
n3:druhVysledku
n16:D
n3:duvernostUdaju
n7:S
n3:entitaPredkladatele
n13:predkladatel
n3:idSjednocenehoVysledku
285383
n3:idVysledku
RIV/67985556:_____/10:00346982
n3:jazykVysledku
n14:eng
n3:klicovaSlova
economic dynamics; extended version of the Ramsey growth model; risk-sensitive Markov decision processes
n3:klicoveSlovo
n6:risk-sensitive%20Markov%20decision%20processes n6:extended%20version%20of%20the%20Ramsey%20growth%20model n6:economic%20dynamics
n3:kontrolniKodProRIV
[39E83E58E93C]
n3:mistoKonaniAkce
České Budějovice
n3:mistoVydani
České Budějovice
n3:nazevZdroje
28th International Conference on Mathematical Methods in Economics 2010
n3:obor
n17:AH
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:projekt
n8:GA402%2F08%2F0107 n8:GAP402%2F10%2F0956
n3:rokUplatneniVysledku
n21:2010
n3:tvurceVysledku
Sladký, Karel
n3:typAkce
n19:CST
n3:zahajeniAkce
2010-09-08+02:00
n3:zamer
n4:AV0Z10750506
s:numberOfPages
6
n12:hasPublisher
University of South Bohemia in České Budějovice, Faculty of Economy
n20:isbn
978-80-7394-218-2