Optimal Saving by Expected Utility Operators

Irina Georgescu; Jani Kinnunen

doi:10.3390/axioms9010017

Optimal Saving by Expected Utility Operators

Irina Georgescu, Jani Kinnunen

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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 language	English
Journal	Axioms
Volume	9
Issue number	1
DOIs	https://doi.org/10.3390/axioms9010017
Publication status	Published - 2020
MoE publication type	A1 Journal article-refereed

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10.3390/axioms9010017Licence: CC BY

https://www.mdpi.com/2075-1680/9/1/17

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title = "Optimal Saving by Expected Utility Operators",

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.",

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AB - 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.

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DO - 10.3390/axioms9010017

M3 - Article

SN - 2075-1680

VL - 9

JO - Axioms

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IS - 1

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Optimal Saving by Expected Utility Operators

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