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Decision making under uncertainty an...

Hayashi, Takashi.

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Decision making under uncertainty and over time.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Decision making under uncertainty and over time./
作者:	Hayashi, Takashi.
面頁冊數:	100 p.
附註:	Source: Dissertation Abstracts International, Volume: 65-08, Section: A, page: 3106.
Contained By:	Dissertation Abstracts International65-08A.
標題:	Economics, Theory. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3142297
ISBN:	0496892781

Decision making under uncertainty and over time.
Hayashi, Takashi.

Decision making under uncertainty and over time. - 100 p.

Source: Dissertation Abstracts International, Volume: 65-08, Section: A, page: 3106.

Thesis (Ph.D.)--University of Rochester, 2004.

This dissertation consists of three essays on decision making under uncertainty and over time.

ISBN: 0496892781Subjects--Topical Terms:

1017575
Economics, Theory.

Decision making under uncertainty and over time.
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100 1 $a Hayashi, Takashi. $3 1928722
245 1 0 $a Decision making under uncertainty and over time.
300 $a 100 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-08, Section: A, page: 3106.
500 $a Supervisor: Larry Epstein.
502 $a Thesis (Ph.D.)--University of Rochester, 2004.
520 $a This dissertation consists of three essays on decision making under uncertainty and over time.
520 $a Chapter 1 presents an axiomatic model of decision making which incorporates objective but imprecise information as a variable. The model achieves two primary objectives. First, it permits the analyst to relate the choices made under different information. Second, it explains how subjective belief varies with objective information. In contrast, note that in the von Neumann-Morgenstern expected utility model information is objective and precise, and that in Savage's subjective expected utility theory and in the multiple-priors model due to Gilboa-Schmeidler, information is implicit and fixed. This leaves subjective priors unexplained and limits the ability to calibrate the model, that is, to relate behavior of the single decision maker in different settings.
520 $a I adopt a Savage-style state space model. Information is assumed to take the form of a probability-possibility set, that is, a set P of probability measures on the state space. The decision maker is told only that the true probability law lies in P. She is assumed to rank pairs of the form (P, f) where P is a probability-possibility set and f is an act mapping states into outcomes.
520 $a The representation result delivers multiple-priors utility at each probability-possibility set. The subjective set of priors is obtained by (i) solving for the 'mean value' of the probability-possibility set, and (ii) shrinking the probability possibility set toward the mean value to a degree determined by preference. This allows both subjective expected utility with the prior equal to the mean value, and the other extreme where the decision maker takes the worst case scenario in the entire probability-possibility set. The degree of shrinkage corresponds to the decision maker's degree of 'imprecision aversion,' and it can be elicited by a simple procedure.
520 $a Chapter 2 axiomatizes a form of recursive utility on consumption processes that permits a role for ambiguity as well as risk. The model has two prominent special cases: (i) the recursive model of risk preference due to Kreps and Porteus (1978); and (ii) an intertemporal version of multiple-priors utility due to Epstein and Schneider (2003). The generalization presented here permits a three-way separation of intertemporal substitution, risk aversion and ambiguity aversion.
520 $a Chapter 3 gives an axiomatic foundation for utility exhibiting quasi-geometric discounting. In addition, it introduces a wider class of utility functions satisfying weakened stationarity, called quasi-stationary utility . Both are established as von-Neumann Morgenstern utility indices in a model of risk preference.
590 $a School code: 0188.
650 4 $a Economics, Theory. $3 1017575
690 $a 0511
710 2 0 $a University of Rochester. $3 515736
773 0 $t Dissertation Abstracts International $g 65-08A.
790 1 0 $a Epstein, Larry, $e advisor
790 $a 0188
791 $a Ph.D.
792 $a 2004
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3142297