Incorporating Risk Aversion into Dynamic Programming Models
指出大多数动态规划模型假设决策者风险中性，但实际中风险贯穿短期和长期关系，纳入风险厌恶会违反期望效用独立性假设并影响长期均衡，建议研究更灵活的风险厌恶动态规划方法。
Abstract Most previous stochastic dynamic programming (DP) applications have assumed that decision makers are risk neutral; however, risk permeates both intrayear and interyear relationships in most DP problems. Incorporating risk aversion to intrayear outcomes alone can violate the independence assumption of expected utility and can destabilize long‐run equilibrium returns. Aversion to riskiness of the long‐run returns suppresses the effect of sequential resolution of risk over time. Because tolerance of short‐run versus long‐run risk varies in dynamic situations, procedures for incorporating risk aversion should accommodate this variation. More research on risk averse DP formulations is needed.