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Risk aversion in expected intertemporal discounted utilities bandit problems

Author

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  • Jean-Philippe Chancelier

    (cermics, Ecole des ponts, Paris Tech)

  • Michel De Lara

    (cermics, Ecole des ponts, Paris Tech)

  • André de Palma

    (Université de Cergy-Pontoise, Ecole nationale des ponts et chaussées, core and Institut universitaire de France)

Abstract

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Suggested Citation

  • Jean-Philippe Chancelier & Michel De Lara & André de Palma, 2007. "Risk aversion in expected intertemporal discounted utilities bandit problems," THEMA Working Papers 2007-15, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    • Handle: RePEc:ema:worpap:2007-15
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    File URL: http://thema.u-cergy.fr/IMG/documents/2007-15.pdf
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    References listed on IDEAS

    as
    1. Rothschild, Michael, 1974. "Searching for the Lowest Price When the Distribution of Prices Is Unknown," Journal of Political Economy, University of Chicago Press, vol. 82(4), pages 689-711, July/Aug..
    2. Eric V. Denardo & Haechurl Park & Uriel G. Rothblum, 2007. "Risk-Sensitive and Risk-Neutral Multiarmed Bandits," Mathematics of Operations Research, INFORMS, vol. 32(2), pages 374-394, May.
    3. Wolpin, Kenneth I, 1984. "An Estimable Dynamic Stochastic Model of Fertility and Child Mortality," Journal of Political Economy, University of Chicago Press, vol. 92(5), pages 852-874, October.
    4. Jean-Philippe Chancelier & Michel De Lara & André de Palma, 2007. "Risk Aversion, Road Choice, and the One-Armed Bandit Problem," Transportation Science, INFORMS, vol. 41(1), pages 1-14, February.
    5. Diamond, Peter & Rothschild, Michael (ed.), 1978. "Uncertainty in Economics," Elsevier Monographs, Elsevier, edition 1, number 9780122148507.
    6. Michael Rothschild, 1974. "Searching for the Lowest Price When the Distribution of Prices Is Unknown: A Summary," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 1, pages 293-294, National Bureau of Economic Research, Inc.
    7. Thierry Magnac & Jean-Marc Robin, 1999. "Dynamic stochastic dominance in bandit decision problems," Theory and Decision, Springer, vol. 47(3), pages 267-295, December.
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    Cited by:

    1. Keller, Godfrey & Novák, Vladimír & Willems, Tim, 2019. "A note on optimal experimentation under risk aversion," Journal of Economic Theory, Elsevier, vol. 179(C), pages 476-487.
    2. André de Palma & Luc Leruth & Adnan Mazarei, 2010. "Regulating sovereign wealth funds operating overseas through an external fund manager," Working Papers hal-00488662, HAL.
    3. Marie Schmidt & Leo Kroon & Anita Schöbel & Paul Bouman, 2017. "The Travelers Route Choice Problem Under Uncertainty: Dominance Relations Between Strategies," Operations Research, INFORMS, vol. 65(1), pages 184-199, February.
    4. Marie Schmidt & Leo Kroon & Anita Schöbel & Paul Bouman, 2017. "The Travelers Route Choice Problem Under Uncertainty: Dominance Relations Between Strategies," Operations Research, INFORMS, vol. 65(1), pages 184-199, February.

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