【主讲】Wei Xiao (复旦大学)
【主题】Dynamic OCE Utility and Temporal Resolution
【时间】2016年11月1日 (周二) 15：30-17：00
【地点】上海财经大学经济学院楼701室
【语言】英文
【摘要】A key motivation for the preference model introduced in Kreps and Porteus (1978) is the belief that an "individual regards uncertainties resolving at different times as being different". In the Epstein and Zin (1989) version of these preferences, they allow for a partial separation of time and risk preferences where the former are represented by a CES utility and the latter by a CRRA Expected Utility function where the condition for a preference for early versus late resolution depends on the relationship between relative risk aversion and time preference EIS parameters. An alternative representation of dynamic OCE preferences is proposed in Selden and Stux (1978), which allows for a complete separation of risk and time preferences following the classic two period analysis in Selden (1978) but explicitly precludes a preference for early or late resolution. We extend the Selden and Stux (1978) model to explicitly allow for the possibility of a preference for early or late resolution. Our new, key axiom, which builds on the analysis of two stage lotteries in Segal (1990), requires that certainty equivalents in multistage lotteries be computed based on the risk preferences when risk is resolved and not when the consumption is realized.
