Risk, ambiguity, and Giffen assets

• 成果类型: Article
• 署名作者: Lanier, Joshua
• 署名单位: Solvay SA; Universite Libre de Bruxelles
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2019.104976
• 发表日期: 2020
• 关键词: Giffen goods; expected utility; ambiguity aversion; Choquet expected utility; maxmin expected utility; Multiplier preferences; Law of demand

摘要

We provide necessary and sufficient conditions for the demand for financial assets to satisfy the law of demand (prices and quantity demanded move in opposite directions) when preferences take the expected utility, multiplier preferences, Choquet expected utility, and the maxmin expected utility forms. For the first three models the law of demand holds when the variation in the coefficient of relative risk aversion stays within a specified bound. Ensuring the law of demand holds in the maxmin expected utility model requires constant relative risk aversion. (C) 2019 Elsevier Inc. All rights reserved.