Optimal Saving by Expected Utility Operators

Irina Georgescu, Jani Kinnunen

Research output: Contribution to journalArticleScientificpeer-review

Abstract

This paper studies an optimal saving model in which risk is represented by a fuzzy number and the total utility function of the model is defined by an expected utility operator. This model generalizes some existing possibilistic saving models and from them, by a particularization, one can obtain new saving models. In the paper, sufficient conditions are set for the presence of potential risk to increase optimal saving levels and an approximation formula for optimal saving is demonstrated. Particular models for a few concrete expected utility operators are analyzed for triangular fuzzy numbers and CRRA-utility functions.
Original languageEnglish
JournalAxioms
Volume9
Issue number1
DOIs
Publication statusPublished - 2020
MoE publication typeA1 Journal article-refereed

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