Learning and risk aversion

• 成果类型: Article
• 署名作者: Oyarzun, Carlos; Sarin, Rajiv
• 署名单位: University of Queensland; University of Birmingham
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2012.09.011
• 发表日期: 2013
• 页码: 196-225
• 关键词: Reinforcement learning; risk aversion; expected utility

摘要

We study how learning shapes behavior towards risk when individuals are not assumed to know, or to have beliefs about, probability distributions. In any period, the behavior change induced by learning is assumed to depend on the action chosen and the payoff obtained. We characterize learning processes that, in expected value, increase the probability of choosing the safest actions and provide sufficient conditions for them to converge to the choices of risk averse expected utility maximizers. We provide a learning theoretic motivation for long run risk choices, such as those in expected utility theory with known payoff distributions. (C) 2012 Elsevier Inc. All rights reserved.