Mihm, Maximilian. 2011. Reference-Dependent Ambiguity Aversion. Doctoral Dissertation,
Cornell University.
This dissertation
contributes to the growing literature in economics on ambiguity aversion. I
identify an implicit reference-point assumption in the multiple priors model of
Gilboa and Schmeidler (1989), generalize their decision theory to allow for
stochastic reference-points, and study the market implications of
endowment-dependent ambiguity aversion. Chapter 2 identifies the implicit
reference-point assumption in the multiple priors model and provides an
axiomatic characterization of a reference-dependent multiple priors model. I
also provide an axiomatic characterization of a reference-dependent version of
the Choquet Expected Utility model of Schmeidler (1989), which can accommodate
different attitudes towards ambiguity. Chapter 3 studies the implications of
reference-dependent ambiguity aversion when reference points are given by the
endowment in an Arrow-Debreu exchange economy. I illustrate that no-trade and
underinsurance are robust implications of ambiguity aversion when investors
view ambiguity from the perspective of their endowments. Chapter 4 extends the
decision model to intertemporal choice problems and studies the effects of
reference-dependent ambiguity aversion in the context of a dynamic asset
pricing model.
No comments:
Post a Comment