DYNAMIC PREFERENCE FOR FLEXIBILITY

• 成果类型: Article
• 署名作者: Krishna, R. Vijay; Sadowski, Philipp
• 署名单位: Duke University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA10072
• 发表日期: 2014
• 页码: 655-703
• 关键词: SUBJECTIVE STATE-SPACE; REPRESENTING PREFERENCES; BEHAVIOR; uncertainty; consumption; CHOICE; STOCK

摘要

We consider a decision maker who faces dynamic decision situations that involve intertemporal trade-offs, as in consumption-savings problems, and who experiences taste shocks that are transient contingent on the state of the world. We axiomatize a recursive representation of choice over state contingent infinite horizon consumption problems, where uncertainty about consumption utilities depends on the observable state and the state follows a subjective Markov process. The parameters of the representation are the subjective process that governs the evolution of beliefs over consumption utilities and the discount factor; they are uniquely identified from behavior. We characterize a natural notion of greater preference for flexibility in terms of a dilation of beliefs. An important special case of our representation is a recursive version of the Anscombe-Aumann model with parameters that include a subjective Markov process over states and state-dependent utilities, all of which are uniquely identified.