• Corpus ID: 153160969

Linking Behavioral Economics, Axiomatic Decision Theory and General Equilibrium Theory

@inproceedings{Wakai2002LinkingBE,
  title={Linking Behavioral Economics, Axiomatic Decision Theory and General Equilibrium Theory},
  author={Katsutoshi Wakai},
  year={2002}
}
Linking Behavioral Economics, Axiomatic Decision Theory and General Equilibrium Theory 
princeton.edu
13 Citations
Highly Influential Citations
1
Background Citations
5

13 Citations

Recursive extension of a multicommodity analysis

This paper presents an axiomatic model of recursive preferences, which extends the multicommodity analysis of Kihlstrom and Mirman (J Econ Theory, 8(3): 361–388, 1974) to an infinite-horizon setting.

Recursive extension of a multicommodity analysis

  • K. Wakai
  • Economics
    Economic Theory Bulletin
  • 2014
This paper presents an axiomatic model of recursive preferences, which extends the multicommodity analysis of Kihlstrom and Mirman (J Econ Theory, 8(3): 361–388, 1974) to an infinite-horizon setting.

Dynamic Consistency and Multiple Priors

This paper investigates properties of conditional preference if an agent ex-ante follows the multiple-priors model (Gilboa and Schmeidler, J. Math. Econ. 18 (1989) 141). The main result is that given…

Aggregation under homogeneous ambiguity: a two-fund separation result

Contrary to the common prior model, the construction of a representative agent whose preferences follow the multiple-priors model (1989) requires strong restrictions on sets of priors and on an…

A Model of Stochastic Utility Smoothing

In riskless intertemporal choice, experimental studies suggest that a decision maker prefers smoothing a utility distribution implied by a sequence of outcomes. This paper extends, in an axiomatic…

A Model of Utility Smoothing

Experimental studies have found that a decision maker prefers spreading good and bad outcomes evenly over time. We propose, in an axiomatic framework, a new model of discount factors that captures…

Interim efficient allocations under uncertainty

A note on recursive multiple-priors

The Ambiguity Premium vs. the Risk Premium under Limited Market Participation

This paper considers a stock market with ambiguity-averse informed investors under the CARA-normal setting, and studies the relationship between limited market participation and the equity premium…

Interim efficiency with MEU-preferences

References

SHOWING 1-10 OF 26 REFERENCES

Intertemporal Asset Pricing Under Knightian Uncertainty

The R. E. Lucas (1978) general equilibrium model of asset prices is extended to admit beliefs that are represented by a (nonsingleton) set of probability measures. A primary motivation is evidence,…

Charges as equilibrium prices and asset bubbles

Uncertainty Aversion and Dynamic Consistency

This paper applies a proposal of M. Machina (1989) for updating nonexpected utility preferences to D. Schmeidler's (1989) nonadditive probability model. The authors discover that the updated…

Uncertainty, Risk-Neutral Measures and Security Price Booms and Crashes

Abstract This paper provides a general analysis of intertemporal utility based on the multiple-priors model of aversion to "Knightian" uncertainty. Then the existence of equilibrium is proven for a…

Information, Trade, and Common Knowledge

Game Theory Without Partitions, and Applications to Speculation and Consensus

Abstract Decision theory and game theory are extended to allow for information processing errors. This extended theory is then used to reexamine market speculation and consensus, both when all…

Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation

Consumer heterogeneity raises two problems in the derivation of the intertemporal asset-pricing model. First, it is implausible to assume that all assets' returns are multivariate normal (or exhibit…

Preferences, common knowledge and speculative trade

We study the proposition that if it is common knowledge that en allocation of assets is ex-ante pareto efficient, there is no further trade generated by new information. The key to this result is…

TRADE WITH HETEROGENEOUS PRIOR BELIEFS AND ASYMMETRIC INFORMATION

'No trade' theorems have shown that new information will not lead to trade when agents share the same prior beliefs. This paper explores the structure of no trade theorems with heterogeneous prior…

Heterogeneous Agent Economies with Knightian Uncertainty

This paper studies decentralized economies in which decision-makers do not have full knowledge of the probabilities of the states of nature. This ambiguity is referred to as Knightian uncertainty.…