英文标题：
《The time interpretation of expected utility theory》
---
作者：
Ole Peters and Alexander Adamou
---
最新提交年份：
2021
---
英文摘要：
  Ergodicity economics is a new branch of economic theory that notes the conceptual difference between time averages and expectation values, which coincide only for ergodic observables. It postulates that individual agents maximise the time average growth rate of wealth, known widely as growth optimality. This contrasts with the dominant behavioural model in economics, expected utility theory, in which agents maximise expectation values of changes in psychologically transformed wealth. Historically, growth optimality was explored for additive and multiplicative gambles. Here we apply it to a general class of wealth dynamics, extending the range of economic situations where it may be used. Moreover, we show a correspondence between growth optimality and expected utility theory, in which the ergodicity transformation in the former is identified as the utility function in the latter. This correspondence offers a theoretical basis for choosing utility functions and predicts that wealth dynamics are strong determinants of risk preferences.
---
中文摘要：
遍历性经济学是经济理论的一个新分支，它注意到时间平均值和期望值之间的概念上的差异，而期望值只与遍历观测值一致。它假设个体代理人最大化财富的时间平均增长率，即众所周知的增长最优性。这与经济学中占主导地位的行为模型预期效用理论形成了鲜明对比，在该理论中，代理人将心理转化财富变化的预期值最大化。历史上，增长最优性是为加法和乘法赌博探索的。在这里，我们将其应用于一般类别的财富动态，扩大了可能使用它的经济情况的范围。此外，我们还证明了增长最优性与期望效用理论之间的对应关系，其中前者的遍历性变换被确定为后者的效用函数。这种对应关系为选择效用函数提供了理论基础，并预测财富动态是风险偏好的有力决定因素。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
--

---
PDF下载：
-->