Attitudes toward different sources of uncertainty

Resumo

On the first chapter of this thesis we provide an axiomatization of Second Order Expected Utility model (SOEU) that does not restrict the decision maker’s attitude towards subjective uncertainty moreover, the subjective probability measure is unique and derived endogenously. On the second chapter we axiomatize a dynamic version of SOEU in which the ambiguity aversion may be stochastic and time-varying. Our dynamic representation also admits a corollary that generalizes the Hansen-Sargent Model. We also discuss a procedure to accommodate sources of uncertainty in a static environment. On the third chapter we show that for an infinite horizon economy, with complete contingent markets and default even with the most severe economic punishment (complete garnishment of current and future income (assets and endowments)) a competitive equilibrium never exists.

Ficha do documento

Tipo

Tese

Ano

2019

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/27890

Temas

Economia

Palavras-chave

Decision theoryChoice under uncertaintyUncertaintyAmbiguity aversionSources of uncertaintySecond order expected utilityCompetitive equilibriumDefault penaltiesTeoria da decisãoEscolha sob incertezaIncertezaAversão a ambiguidadeFontes de incertezaUtilidade esperada de segunda ordemEquilíbrio competitivoPenalidades de caloteEconomiaProcesso decisórioEconomia - Modelos matemáticos