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Risk aversion in expected intertemporal discounted utilities bandit problems

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  • Jean-Philippe Chancelier
  • Michel Lara
  • André Palma

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  • Jean-Philippe Chancelier & Michel Lara & André Palma, 2009. "Risk aversion in expected intertemporal discounted utilities bandit problems," Theory and Decision, Springer, vol. 67(4), pages 433-440, October.
    • Handle: RePEc:kap:theord:v:67:y:2009:i:4:p:433-440
    DOI: 10.1007/s11238-008-9105-3
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    References listed on IDEAS

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    1. Thierry Magnac & Jean-Marc Robin, 1999. "Dynamic stochastic dominance in bandit decision problems," Theory and Decision, Springer, vol. 47(3), pages 267-295, December.
    2. Michael Rothschild, 1974. "Searching for the Lowest Price When the Distribution of Prices Is Unknown: A Summary," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 1, pages 293-294, National Bureau of Economic Research, Inc.
    3. Rothschild, Michael, 1974. "Searching for the Lowest Price When the Distribution of Prices Is Unknown," Journal of Political Economy, University of Chicago Press, vol. 82(4), pages 689-711, July/Aug..
    4. Eric V. Denardo & Haechurl Park & Uriel G. Rothblum, 2007. "Risk-Sensitive and Risk-Neutral Multiarmed Bandits," Mathematics of Operations Research, INFORMS, vol. 32(2), pages 374-394, May.
    5. Wolpin, Kenneth I, 1984. "An Estimable Dynamic Stochastic Model of Fertility and Child Mortality," Journal of Political Economy, University of Chicago Press, vol. 92(5), pages 852-874, October.
    6. Jean-Philippe Chancelier & Michel De Lara & André de Palma, 2007. "Risk Aversion, Road Choice, and the One-Armed Bandit Problem," Transportation Science, INFORMS, vol. 41(1), pages 1-14, February.
    7. Diamond, Peter & Rothschild, Michael (ed.), 1978. "Uncertainty in Economics," Elsevier Monographs, Elsevier, edition 1, number 9780122148507.
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    Cited by:

    1. Keller, Godfrey & Novák, Vladimír & Willems, Tim, 2019. "A note on optimal experimentation under risk aversion," Journal of Economic Theory, Elsevier, vol. 179(C), pages 476-487.
    2. André de Palma & Luc Leruth & Adnan Mazarei, 2010. "Regulating sovereign wealth funds operating overseas through an external fund manager," Working Papers hal-00488662, HAL.
    3. Marie Schmidt & Leo Kroon & Anita Schöbel & Paul Bouman, 2017. "The Travelers Route Choice Problem Under Uncertainty: Dominance Relations Between Strategies," Operations Research, INFORMS, vol. 65(1), pages 184-199, February.
    4. Marie Schmidt & Leo Kroon & Anita Schöbel & Paul Bouman, 2017. "The Travelers Route Choice Problem Under Uncertainty: Dominance Relations Between Strategies," Operations Research, INFORMS, vol. 65(1), pages 184-199, February.

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