Reference dependent ambiguity

• 成果类型: Article
• 署名作者: Mihm, Maximilian
• 署名单位: New York University; New York University Abu Dhabi
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2016.02.006
• 发表日期: 2016
• 页码: 495-524
• 关键词: Ambiguity; Reference-points; Market collapse

摘要

Motivated by experimental and empirical evidence, I study a framework where reference-points such as a status quo, endowment, or default option - can distort the way an individual responds to ambiguity. I characterize a model of reference-dependent maxmin expected utility, and provide behavioral foundations for comparing reference-dependent ambiguity attitudes. I also illustrate some implications of reference dependent ambiguity for trade in an asset market, including underdiversification, no-trade, and the potential for a market collapse. (C) 2016 Elsevier Inc. All rights reserved.