Decision theory and stochastic growth

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F22%3A00572663" target="_blank" >RIV/67985998:_____/22:00572663 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216208:11640/22:00572664

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Decision theory and stochastic growth

Popis výsledku v původním jazyce

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 an empirical distribution of shocks that matches the solution to the wishful thinking or rational inattention problem.

Název v anglickém jazyce

Decision theory and stochastic growth

Popis výsledku anglicky

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 an empirical distribution of shocks that matches the solution to the wishful thinking or rational inattention problem.

Druh

O - Ostatní výsledky

CEP obor

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OECD FORD obor

50201 - Economic Theory

Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2022

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů