TIME AND NO LOTTERIES: AN AXIOMATIZATION OF MAXMIN EXPECTED UTILITY

被引：12
|
作者：
Kochov, Asen [1 ]
机构：
[1] Univ Rochester, Dept Econ, Rochester, NY 14627 USA
来源：
ECONOMETRICA | 2015年 / 83卷 / 01期
关键词：
Intertemporal choice; ambiguity; stationary preferences; SUBJECTIVE-PROBABILITY; TEMPORAL RESOLUTION; AMBIGUITY AVERSION; UNCERTAINTY; PREFERENCES; DEFINITION; CHOICE; RISK;
D O I：
10.3982/ECTA10886
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper axiomatizes an intertemporal version of the maxmin expected-utility model. It employs two axioms specific to a dynamic setting. The first requires that smoothing consumption across states of the world is more beneficial to the individual than smoothing consumption across time. Such behavior is viewed as the intertemporal manifestation of ambiguity aversion. The second axiom extends Koopmans' notion of stationarity from deterministic to stochastic environments.
引用
收藏
页码：239 / 262
页数：24
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