Discounting under impact of temporal risk aversion - a case of continuous time

Krzysztof Piasecki

Abstract

The main aim of this study is to describe temporal risk aversion impact on the present value. Here the case of continuous time is considered only. Some initial problem with differential equation is obtained as a result of these studies. Then the discounting function is given as the unique solution of this initial problem. The formal influence of risk aversion index on the discounting was pointed out. Among other things, there is proved that for fixed current discount rate the condition of present value temporal monotonicity is equivalent to the condition that temporal risk aversion index is positive. Moreover, there is shown that nominal discount rate increases with temporal risk aversion index.
Author Krzysztof Piasecki (WIiGE / KBO)
Krzysztof Piasecki,,
- Department of Operations Research
Pages103-109
Publication size in sheets0.5
Book Jedlička Pavel (eds.): Hradec Economic Days : Double-blind peer-reviewed proceedings part V.of the International Scientific Conference Hradec Economic Days 2015, Hradec Economic Days, vol. 5, no. 5, 2015, University of Hradec Králové, ISBN 978-80-7435-550-9, 355 p.
Keywords in Englishpresent value, discounting, temporal risk aversion
URL https://uni.uhk.cz/hed/site/assets/files/1048/proceedings_2015_5.pdf
Languageen angielski
Score (nominal)15
ScoreMinisterial score = 0.0, 12-12-2019, BookChapterSeriesAndMatConfByIndicator
Ministerial score (2013-2016) = 0.0, 12-12-2019, BookChapterSeriesAndMatConfByIndicator
Publication indicators WoS Citations = 0
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