A Behavioral Analysis of Stochastic Reference Dependence

• 成果类型: Article
• 署名作者: Masatlioglu, Yusufcan; Raymond, Collin
• 署名单位: University System of Maryland; University of Maryland College Park; Amherst College
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20140973
• 发表日期: 2016
• 页码: 2760-2782
• 关键词: risk-aversion; independence axiom; prospect-theory; utility; disappointment; uncertainty; preferences; DECISION; COMPETITION; THEOREM

摘要

We examine the reference-dependent risk preferences of Koszegi and Rabin (2007), focusing on their choice-acclimating personal equilibria. Although their model has only a trivial intersection (expected utility) with other reference-dependent models, it has very strong connections with models that rely on different psychological intuitions. We prove that the intersection of rank-dependent utility and quadratic utility, two well-known generalizations of expected utility, is exactly monotone linear gain-loss choice-acclimating personal equilibria. We use these relationships to identify parameters of the model, discuss loss and risk aversion, and demonstrate new applications.