Uncertainty aversion and dynamic consistency

被引：19

作者：

Eichberger, J ^{[1
]}

Kelsey, D ^{[1
]}

机构：

[1] UNIV BIRMINGHAM,BIRMINGHAM B15 2TT,W MIDLANDS,ENGLAND

来源：

INTERNATIONAL ECONOMIC REVIEW | 1996年 / 37卷 / 03期

关键词：

D O I：

10.2307/2527444

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper applies a proposal of Machina for updating nonexpected utility preferences to Schmeidler's nonadditive probability model. We discover that the updated preferences may not themselves satisfy Schmeidler's axioms. Despite this, the updates of uncertainty averse preferences are themselves uncertainty averse.

引用

页码：625 / 640

页数：16

共 27 条

[1] Anand P., 1990, Agricultural Economics, V4, P145, DOI 10.1016/0169-5150(90)90029-Z
[2] [Anonymous], AM EC REV
[3] Choquet G., 1953, Ann. d'Inst. Fourier, V5, P131, DOI [DOI 10.5802/AIF.53, 10.5802/aif.53]
[4] EXCESS VOLATILITY OF STOCK-PRICES AND KNIGHTIAN UNCERTAINTY
DOW, J
WERLANG, SRD
[J]. EUROPEAN ECONOMIC REVIEW, 1992, 36 (2-3) : 631 - 638
[5] UNCERTAINTY AVERSION, RISK-AVERSION, AND THE OPTIMAL CHOICE OF PORTFOLIO
DOW, J
WERLANG, SRD
[J]. ECONOMETRICA, 1992, 60 (01) : 197 - 204
[6] NASH EQUILIBRIUM UNDER KNIGHTIAN UNCERTAINTY - BREAKING DOWN BACKWARD INDUCTION
DOW, J
WERLANG, SRD
[J]. JOURNAL OF ECONOMIC THEORY, 1994, 64 (02) : 305 - 324
[7] DOW J, 1992, P 4 C THEOR ASP REAS
[8] EICHBERGER J, 1994, 9401 U BIRM
[9] RISK, AMBIGUITY, AND THE SAVAGE AXIOMS
ELLSBERG, D
[J]. QUARTERLY JOURNAL OF ECONOMICS, 1961, 75 (04) : 643 - 669
[10] INTERTEMPORAL ASSET PRICING UNDER KNIGHTIAN UNCERTAINTY
EPSTEIN, LG
WANG, T
[J]. ECONOMETRICA, 1994, 62 (02) : 283 - 322

← 1 2 3 →