研讨論文

Identification of smooth ambiguity

主講人

宋信息（副教授，首都經濟貿易大學 國際經濟管理學院）

内容簡介

Individuals behave differently when they know the objective probability of events and when they do not. The smooth ambiguity model accommodates both ambiguity (uncertainty) and risk. We consider an individual who trades financial assets to maximize a smooth ambiguity utility over two dates. For an incomplete, competitive asset market, we give sufficient conditions for consumption and asset demand functions generated by smooth ambiguity preferences to identify the ambiguity and risk indices as well as the ambiguity probability measure. Restrictions imposed on asset payoff play an important role in separating risk and ambiguity preferences, and linear independence of indirect marginal utility functions over assets pins down the ambiguity beliefs. The identification procedure can determine whether the individual possesses smooth ambiguity, Kreps-Porteus-Selden or expected utility preferences. Also, our argument applies even if the objective probability distributions in the support of the ambiguity probability measure are not observed.

作者簡介

英國華威大學經濟學博士，主要研究集中在顯示性偏好理論、機制設計理論、一般均衡理論。論文發表于Journal of Mathematical Economics、Economics Letters、《經濟學報》等國内外經濟學期刊。擔任 Canadian Journal of Economics, Journal of Economic Theory、Journal of Public Economic Theory等期刊審稿人。

點評老師

張志祥、尹訓東、史博文

時間

10月9日 (晚上6：00-8：00）

線下地址

學術會堂712

活動對象

韦德体育bevictor學生

人數規模

30人

主辦單位

韦德体育bevictor

文字：宋信息

審稿：尹訓東

排版：沈嘉怡

編輯：沈嘉怡

審核：王穎