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作者：Hill, Brian
作者单位：Hautes Etudes Commerciales (HEC) Paris; Centre National de la Recherche Scientifique (CNRS)
摘要：This paper develops a belief update rule under ambiguity, motivated by the maxim: in the face of new information, retain those conditional beliefs in which you are more confident, and relinquish only those in which you have less confidence. We provide a preference-based axiomatisation, drawing on the account of confidence in beliefs developed in Hill (2013). The proposed rule constitutes a general framework of which several existing rules for multiple priors (Full Bayesian, Maximum Likelihood)...
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作者：Lensman, Todd; Troshkin, Maxim
作者单位：Massachusetts Institute of Technology (MIT); University of Pennsylvania; University of Exeter
摘要：We study the implications of ambiguity for optimal fiscal policy in macro public finance environments with heterogeneous agents and private idiosyncratic shocks. We describe conditions under which ambiguity implies that it is optimal to periodically reform policies. Periodic reforms lead to simplified optimal policies that are not fully contingent on future shocks; at times they also lose dependence on the full history of past shocks. These simplified policies can be characterized without comp...
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作者：Lopomo, Giuseppe; Rigotti, Luca; Shannon, Chris
作者单位：Duke University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University of California System; University of California Berkeley
摘要：This paper studies a robust version of the classic surplus extraction problem, in which the designer knows only that the beliefs of each type belong to some set, and designs mechanisms that are suitable for all possible beliefs in that set. We derive necessary and sufficient conditions for full extraction in this setting, and show that these are natural set-valued analogues of the classic convex independence condition identified by Cremer and McLean) 35, 1988). We show that full extraction is ...
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作者：Hara, Kazuhiro
作者单位：Getulio Vargas Foundation
摘要：In pursuit of games played by groups of individuals (each group itself being a player), we develop a theory of strategic games in which each player is rational in the sense of expected utility theory, except that her preferences may fail to be transitive. Two natural solution concepts are defined, Nash equilibrium and the equilibrium in beliefs, depending on the interpretation of mixed strategies. We provide sufficient conditions for the existence of both equilibrium concepts. For instance, it...
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作者：Jiang, Julia; Liu, Jun; Tian, Weidong; Zeng, Xudong
作者单位：University of North Carolina; University of North Carolina Charlotte; University of California System; University of California San Diego; Shanghai University of Finance & Economics
摘要：When an investor is ambiguous about the asset returns' correlation and evaluates the portfolio in a multiprior framework, we show that the optimal portfolio may contain only a fraction of risky assets. In particular, if the level of ambiguity is high enough, the optimal portfolio contains only the one with the highest Sharpe ratio. Moreover, we demonstrate that the optimal portfolio may be independent of feasible correlation matrices and may not change when the Sharpe ratios of some assets cha...
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作者：Garfinkel, Michelle R.; Syropoulos, Constantinos; Zylkin, Thomas
作者单位：University of California System; University of California Irvine; Drexel University; University of Richmond
摘要：We analyze a dynamic, two-country model that highlights the various trade-offs each country faces between current consumption and competing investments in its future productive and military capacities as it prepares for a possible conflict in the future. Our focus is on the circumstances under which the effects of current trade between the two countries on the future balance of power render trade unappealing to one of them. We find that a positive probability of future conflict induces the cou...
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作者：Banerjee, Kuntal
作者单位：State University System of Florida; Florida Atlantic University
摘要：This paper corrects Theorem 1 in Gerasimou (2021). An example of a preference intensity relation that has a preference intensity function representation but satisfies neither translocation consistency nor separability is presented. An equivalence between the class of binary relations satisfying weak order, reversal and lateral consistency and those that are representable by preference intensity functions is established. (C) 2022 Elsevier Inc. All rights reserved.
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作者：Chew, Soo Hong; Miao, Bin; Shen, Qiang; Zhong, Songfa
作者单位：Southwestern University of Finance & Economics - China; Renmin University of China; Shanghai International Studies University; National University of Singapore
摘要：This study examines multiple-switching behavior (MSB) in choice-list elicitation of risk preference from the perspectives of stochastic choice. We distinguish between regular and irregular MSB, and find that subjects with more irregular MSB are more likely to violate first-order stochastic dominance. In contrast, subjects with more regular MSB are more likely to concurrently exhibit non-expected utility behavior and reduce compound lottery, and to deliberately randomize in repeated choice. Our...
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作者：Esponda, Ignacio; Pouzo, Demian; Yamamoto, Yuichi
作者单位：University of California System; University of California Santa Barbara; University of California System; University of California Berkeley; Hitotsubashi University
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作者：Chien, YiLi; Wen, Yi
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Shanghai Jiao Tong University
摘要：We use an analytically tractable, heterogeneous-agent incomplete-markets model to show that the Ramsey planner's decision to finance stochastic public expenditures implies a departure from tax smoothing and an endogenous mean-reverting force to support positive debt growth despite the government's precautionary saving motives. Specifically, the government's attempt to balance the competing incentives between its own precautionary saving (tax smoothing) and households' precautionary saving (ind...
