Scale-invariant uncertainty-averse preferences and source-dependent constant relative risk aversion
نویسندگان
چکیده
منابع مشابه
Dynamic Choice with Constant Source-Dependent Relative Risk Aversion
An axiomatic characterization of recursive utility with source-dependent constant relative risk aversion (CRRA), constant elasticity of intertemporal substitution, constant rate of impatience and subjective beliefs is established. The utility form is a minimal extension of Epstein-Zin-Weil utility that allows the CRRA to depend on the source of risk, a dependence that admits an ambiguity aversi...
متن کاملUncertainty averse preferences
We study uncertainty averse preferences, that is, complete and transitive preferences that are convex and monotone. We establish a representation result, which is at same time general and rich in structure. Many objective functions commonly used in applications are special cases of this representation. JEL classification: D81
متن کاملMean-dispersion preferences and constant absolute uncertainty aversion
We axiomatize, in an Anscombe-Aumann framework, the class of preferences that admit a representation of the form V (f) = (d), where is the mean utility of the act f with respect to a given probability, d is the vector of state-by-state utility deviations from the mean, and (d) is a measure of (aversion to) dispersion that corresponds to an uncertainty premium. The key feature of these mean-disp...
متن کاملTime Dependent Relative Risk Aversion
Risk management and the thorough understanding of the relations between financial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors’ behavior from a macroeconomic aspect (modeled by the investors’ pricing kernel and their relative risk aversion) u...
متن کاملObjective Rationality and Uncertainty Averse Preferences
As in Gilboa, Maccheroni, Marinacci, and Schmeidler [12], we consider a decision maker characterized by two binary relations: % and %^. The rst binary relation is a Bewley preference. It models the rankings for which the decision maker is sure. The second binary relation is an uncertainty averse preference, as de ned by Cerreia-Vioglio, Maccheroni, Marinacci, and Montrucchio [4]. It models the...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Theoretical Economics
سال: 2013
ISSN: 1933-6837
DOI: 10.3982/te1004