{"id":8614,"date":"2012-02-16T20:34:00","date_gmt":"2012-02-16T19:34:00","guid":{"rendered":"https:\/\/casmef.luiss.it\/publications\/regulated-utilities-dataset-2015-2025\/"},"modified":"2026-07-30T12:35:25","modified_gmt":"2026-07-30T10:35:25","slug":"regulated-utilities-dataset-2015-2025","status":"publish","type":"casmef_publication","link":"https:\/\/casmef.luiss.it\/en\/publications\/regulated-utilities-dataset-2015-2025\/","title":{"rendered":"Linear Risk-Averse Optimal Control Problems: Applications in Economics and Finance"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\">Abstract: We discuss how Whittle\u2019s (Whittle, 1990) approach to risk-sensitive optimal control problems can be applied in economics and finance. We show how his analysis of the class of Linear Exponential Quadratic Gaussian problems can be extended to accommodate timediscounting, while preserving its simple and general recursive solutions. We apply Whittle\u2019s methodology investigating two specific problems in financial economics and monetary policy.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Vitale P. CASMEF Working Paper Series. 2012;(3). <\/p>\n","protected":false},"template":"","publication_type":[559],"class_list":["post-8614","casmef_publication","type-casmef_publication","status-publish","hentry"],"acf":{"pub_unit":7855,"pub_file":8613},"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v28.6 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Linear Risk-Averse Optimal Control Problems: Applications in Economics and Finance - Casmef<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/casmef.luiss.it\/en\/publications\/regulated-utilities-dataset-2015-2025\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Linear Risk-Averse Optimal Control Problems: Applications in Economics and Finance - Casmef\" \/>\n<meta property=\"og:description\" content=\"Vitale P. CASMEF Working Paper Series. 2012;(3).\" \/>\n<meta property=\"og:url\" content=\"https:\/\/casmef.luiss.it\/en\/publications\/regulated-utilities-dataset-2015-2025\/\" \/>\n<meta property=\"og:site_name\" content=\"Casmef\" \/>\n<meta property=\"article:modified_time\" content=\"2026-07-30T10:35:25+00:00\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/publications\\\/regulated-utilities-dataset-2015-2025\\\/\",\"url\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/publications\\\/regulated-utilities-dataset-2015-2025\\\/\",\"name\":\"Linear Risk-Averse Optimal Control Problems: Applications in Economics and Finance - Casmef\",\"isPartOf\":{\"@id\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/#website\"},\"datePublished\":\"2012-02-16T19:34:00+00:00\",\"dateModified\":\"2026-07-30T10:35:25+00:00\",\"breadcrumb\":{\"@id\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/publications\\\/regulated-utilities-dataset-2015-2025\\\/#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/publications\\\/regulated-utilities-dataset-2015-2025\\\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/publications\\\/regulated-utilities-dataset-2015-2025\\\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Linear Risk-Averse Optimal Control Problems: Applications in Economics and Finance\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/#website\",\"url\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/\",\"name\":\"Casmef\",\"description\":\"\",\"publisher\":{\"@id\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/#organization\"},\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/?s={search_term_string}\"},\"query-input\":{\"@type\":\"PropertyValueSpecification\",\"valueRequired\":true,\"valueName\":\"search_term_string\"}}],\"inLanguage\":\"en-US\"},{\"@type\":\"Organization\",\"@id\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/#organization\",\"name\":\"Casmef\",\"url\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/\",\"logo\":{\"@type\":\"ImageObject\",\"inLanguage\":\"en-US\",\"@id\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/#\\\/schema\\\/logo\\\/image\\\/\",\"url\":\"https:\\\/\\\/casmef.luiss.it\\\/wp-content\\\/uploads\\\/2026\\\/07\\\/Logo-CASMEF.svg\",\"contentUrl\":\"https:\\\/\\\/casmef.luiss.it\\\/wp-content\\\/uploads\\\/2026\\\/07\\\/Logo-CASMEF.svg\",\"caption\":\"Casmef\"},\"image\":{\"@id\":\"https:\\\/\\\/casmef.luiss.it\\\/en\\\/#\\\/schema\\\/logo\\\/image\\\/\"}}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"Linear Risk-Averse Optimal Control Problems: Applications in Economics and Finance - Casmef","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/casmef.luiss.it\/en\/publications\/regulated-utilities-dataset-2015-2025\/","og_locale":"en_US","og_type":"article","og_title":"Linear Risk-Averse Optimal Control Problems: Applications in Economics and Finance - Casmef","og_description":"Vitale P. 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