Yazar "Bleichrodt, Han" seçeneğine göre listele

Listeleniyor 1 - 2 / 2
  • Küçük Resim Yok
    Öğe
    Discounted Utility and Present Value-A Close Relation
    (Informs, 2015) Bleichrodt, Han; Keskin, Umut; Rohde, Kirsten I. M.; Spinu, Vitalie; Wakker, Peter
    We introduce a new type of preference condition for intertemporal choice, which requires present values to be independent of various other variables. The new conditions are more concise and more transparent than traditional ones. They are directly related to applications because present values are widely used tools in intertemporal choice. Our conditions give more general behavioral axiomatizations, which facilitate normative debates and empirical tests of time inconsistencies and related phenomena. Like other preference conditions, our conditions can be tested qualitatively. Unlike other preference conditions, our conditions can also be directly tested quantitatively, and we can verify the required independence of present values from predictors in regressions. We show how similar types of preference conditions, imposing independence conditions between directly observable quantities, can be developed for decision contexts other than intertemporal choice and can simplify behavioral axiomatizations there. Our preference conditions are especially efficient if several types of aggregation are relevant because we can handle them in one stroke. We thus give an efficient axiomatization of a market pricing system that is (i) arbitrage-free for hedging uncertainties and (ii) time consistent.
  • Küçük Resim Yok
    Öğe
    The Effect of Learning on Ambiguity Attitudes
    (Informs, 2018) Baillon, Aurelien; Bleichrodt, Han; Keskin, Umut; l'Haridon, Olivier; Li, Chen
    This paper studies the effect of learning information on people's attitudes toward ambiguity. We propose a method to separate ambiguity attitudes from subjective probabilities and to decompose ambiguity attitudes into two components. Under models like prospect theory that represent ambiguity through nonadditive decision weights, these components reflect pessimism and likelihood insensitivity. Under multiple priors models, they reflect ambiguity aversion and perceived ambiguity. We apply our method in an experiment where we elicit the ask prices of options with payoffs depending on the returns of initial public offerings (IPOs) on the New York Stock Exchange. IPOs are a natural context to study the effect of learning, as prior information about their returns is unavailable. Subjects perceived substantial ambiguity and they were insensitive to likelihood information. We observed only little pessimism and ambiguity aversion. Subjective probabilities were well calibrated and close to the true frequencies. Subjects' behavior moved toward expected utility with more information, but substantial deviations remained even in the maximum information condition.