Approximate optimality and the risk/reward tradeoff given repeated gambles

B-Tier
Journal: Economic Theory
Year: 2025
Volume: 79
Issue: 4
Pages: 1351-1381

Authors (3)

Zengjing Chen (not in RePEc) Larry G. Epstein (McGill University) Guodong Zhang (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Abstract This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters. Equivalently, it studies sequential choice from a repeated set of independent lotteries. The decision-maker is assumed to pursue strategies that are approximately optimal for large horizons. By exploiting the tractability afforded by asymptotics, conditions are derived characterizing when specialization in one action or lottery throughout is asymptotically optimal and when optimality requires intertemporal diversification. The key is the constancy or variability of risk attitude, that is, the decision-maker’s risk/reward tradeoff.

Technical Details

RePEc Handle
repec:spr:joecth:v:79:y:2025:i:4:d:10.1007_s00199-024-01614-4
Journal Field
Theory
Author Count
3
Added to Database
2026-01-25