Additive valuations of streams of payoffs that obey the time value of money principle: Characterization and robust optimization

paper February 25 2021417 KB


This paper characterizes the preferences over bounded infinite utility streams that satisfy the time value of money principle and an additivity property, and preferences that in addition are impatient. Based on this characterization, the paper introduces a concept of optimization that is robust to a small imprecision in the specification of the preference, and proves that the set of feasible streams of payoffs of a finite Markov decision process admits such a robust optimization.