A Behavioral Analysis of Stochastic Reference Dependence
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چکیده
We examine the reference-dependent risk preferences of Kőszegi and Rabin (2007), focusing on their choice-acclimating personal equilibria. Although their model has only a trivial intersection (expected utility) with other reference-dependent models, it has very strong connections with models that rely on different psychological intuitions. We prove that the intersection of rank-dependent utility and quadratic utility, two well-known generalizations of expected utility, is exactly monotone linear gain-loss choice-acclimating personal equilibria. We use these relationships to identify parameters of the model, discuss loss and risk aversion, and demonstrate new applications. ∗E-mail: [email protected], [email protected]. Previous drafts circulated under the titles “Stochastic Reference Points, Loss Aversion and Choice under Risk” and “Drs. Kőszegi and Rabin or: How I Learned to Stop Worrying and Love Reference Dependence.” For their helpful comments, we would like to thank Larry Samuelson; three anonymous referees; seminar participants at Amherst College; Boston University; BRIC; FUR; Harvard University; London Business School; London School of Economics; Ludwig-Maximilians-Universitat Munich; Monash University; Penn State University; Queen Mary University of London; University of California, Berkeley; University of Copenhagen; University of Michigan; University of Michigan; University of Oxford; University of Pennsylvania; and Johannes Abeler; Daniel Benjamin; Ian Crawford; Vince Crawford; David Dillenberger; Andrew Ellis; David Freeman; David Gill; David Huffman; Matthew Rabin; Neslihan Uler; and Jill Westfall. We would also like to thank Yang Lu for excellent assistance. Any remaining errors are ours.
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تاریخ انتشار 2014