Decision theory and stochastic growth

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F23%3A00575747" target="_blank" >RIV/67985998:_____/23:00575747 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11640/23:00582607
Result on the web
<a href="https://www.aeaweb.org/articles?id=10.1257/aeri.20220456" target="_blank" >https://www.aeaweb.org/articles?id=10.1257/aeri.20220456</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1257/aeri.20220456" target="_blank" >10.1257/aeri.20220456</a>

Result language
angličtina
Original language name
Decision theory and stochastic growth
Original language description
This paper examines connections between stochastic growth and decision problems. We use tools from the theory of large deviations to show that wishful thinking decision problems are equivalent to utility maximization problems, both of which are equivalent to growth maximization under idiosyncratic risk. Rational inattention problems are equivalent to growth-optimal portfolio problems, both of which are equivalent to growth maximization under aggregate risk. Stochastic growth generates extreme inequality, with nearly all wealth eventually held by those who happen to have faced empirical distributions that match the solution to the wishful thinking or rational inattention problem.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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