题目: The identification of uncertainty and risk
The identification of uncertainty and risk
Herakles Polemarchakis, Larry Selden, and Xinxi Song
Individuals facing uncertainty behave differently than when they know the objective probability as showed by Ellsberg's paradox and other experimental evidence. One important ambiguity preference is the "smooth ambiguity model" developed by Klibanoff etal(2005), which can accommodate such behavior. In this paper, using the revealed preference method, we derive the necessary and sufficient conditions for the observed individual portfolio choice to be consistent with smooth ambiguity preference. If the individual's choice passes these tests, we develop the sufficient conditions on underlying preference, belief and asset payoff matrix, under which individual smooth ambiguity preference can be uniquely identified from individual consumption and/or portfolio choice. One strength of our testing and recovery results is that they are applicable to incomplete financial markets.
主讲人简介：宋信息于2015年毕业于英国University of Warwick，获得经济学博士。现担任js8金沙登入网址国际经济管理学院助理教。主要研究领域为微观理论，投资组合选择，资产定价等。