Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems

Tail optimality and preferences consistency for intertemporal optimization problems

When an intertemporal optimization problem over a time interval [t0, T ] is linear and can be solved via dynamic programming, the Bellman’s principle holds, and the optimal control map has the desirable feature of being tail-optimal in the right queue; moreover, the optimizer keeps solving the same problem at any time time t with renovated conditions: we will say that he is preferences-consiste...

Global Optimality Conditions for Optimization Problems∗

We establish new necessary and sufficient optimality conditions for optimization problems. In particular, we establish tractable optimality conditions for the problems of minimizing a weakly convex or concave function subject to standard constraints, such as box constraints, binary constraints, and simplex constraints. Our main theoretical tool for establishing these optimality conditions is ab...

Optimality Conditions for Constrained Optimization Problems

Estimating Intertemporal Preferences

In this article, we show how the degree of risk aversion, discounting, and preference for intertemporal substitution for a natural resource manager can be structurally estimated within a recursive utility framework. We focus on the management of a reservoir in California, and test the data for consistency with a recursive utility model specification versus standard time-additive separability. T...

Space, Time, and Intertemporal Preferences

JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact [email protected]. .