Attitudes toward different sources of uncertainty

• Autor(a) principal: Rosa, Rafael Mouallem
• Data de Publicação: 2019
• Tipo de documento: Tese
• Idioma: eng
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: http://hdl.handle.net/10438/27890
• topic: Decision theory; Choice under uncertainty; Uncertainty; Ambiguity aversion; Sources of uncertainty; Second order expected utility; Competitive equilibrium; Default penalties; Teoria da decisão; Escolha sob incerteza; Incerteza; Aversão a ambiguidade; Fontes de incerteza; Utilidade esperada de segunda ordem; Equilíbrio competitivo; Penalidades de calote; Economia; Processo decisório; Incerteza; Economia - Modelos matemáticos

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.