Learning under ambiguity

被引:165
作者
Epstein, Larry G. [1 ]
Schneider, Martin
机构
[1] Boston Univ, Boston, MA 02215 USA
[2] NYU, Fed Reserve Bank Minneapolis, New York, NY 10011 USA
[3] NBER, Cambridge, MA 02138 USA
基金
美国国家科学基金会;
关键词
D O I
10.1111/j.1467-937X.2007.00464.x
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper considers learning when the distinction between risk and ambiguity matters. It first describes thought experiments, dynamic variants of those provided by Ellsberg, that highlight a sense in which the Bayesian learning model is extreme-it models agents who are implausibly ambitious about what they can learn in complicated environments. The paper then provides a generalization of the Bayesian model that accommodates the intuitive choices in the thought experiments. In particular, the model allows decision-makers' confidence about the environment to change-along with beliefs-as they learn. A portfolio choice application compares the effect of changes in confidence under ambiguity vs. changes in estimation risk under Bayesian learning. The former is shown to induce a trend towards more stock market participation and investment even when the latter does not.
引用
收藏
页码:1275 / 1303
页数:29
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