Decision Theory and Stochastic Growth

IF 8.1 1区 经济学 Q1 ECONOMICS American Economic Review-Insights Pub Date : 2023-09-01 DOI:10.1257/aeri.20220456
A. Robson, L. Samuelson, Jakub Steiner
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引用次数: 1

Abstract

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. (JEL D31, D81, D82, D83, G51, O41)
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决策理论与随机增长
本文研究了随机增长和决策问题之间的联系。我们使用大偏差理论中的工具表明,一厢情愿的决策问题等价于效用最大化问题,这两个问题都等价于特殊风险下的增长最大化问题。理性疏忽问题等价于增长最优投资组合问题,两者都等价于总风险下的增长最大化。随机增长产生了极端的不平等,几乎所有的财富最终都由那些碰巧面临着与一厢情愿或理性疏忽问题的解决方案相匹配的经验分配的人持有。(JEL D31、D81、D82、D83、G51、O41)
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期刊介绍: The journal American Economic Review: Insights (AER: Insights) is a publication that caters to a wide audience interested in economics. It shares the same standards of quality and significance as the American Economic Review (AER) but focuses specifically on papers that offer important insights communicated concisely. AER: Insights releases four issues annually, covering a diverse range of topics in economics.
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