Correlation Misperception in Choice

• 成果类型: Article
• 署名作者: Ellis, Andrew; Piccione, Michele
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20160093
• 发表日期: 2017
• 页码: 1264-1292
• 关键词: correlation neglect; equilibrium; utility; REPRESENTATION; preferences; INFORMATION; opinions; BEHAVIOR; RISK

摘要

We present a decision-theoretic analysis of an agent's understanding of the interdependencies in her choices. We provide the foundations for a simple and flexible model that allows the misperception of correlated risks. We introduce a framework in which the decision maker chooses a portfolio of assets among which she may misperceive the joint returns, and present simple axioms equivalent to a representation in which she attaches a probability to each possible joint distribution over returns and then maximizes subjective expected utility using her (possibly misspecified) beliefs.