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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. 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..
    2. 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.
    3. Thierry Magnac & Jean-Marc Robin, 1999. "Dynamic stochastic dominance in bandit decision problems," Theory and Decision, Springer, vol. 47(3), pages 267-295, December.
    4. 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.
    5. 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.
    6. Diamond, Peter & Rothschild, Michael (ed.), 1978. "Uncertainty in Economics," Elsevier Monographs, Elsevier, edition 1, number 9780122148507.
    7. 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.
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    Cited by:

    1. André de Palma & Luc Leruth & Adnan Mazarei, 2010. "Regulating sovereign wealth funds operating overseas through an external fund manager," Working Papers hal-00488662, HAL.
    2. 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.
    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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