Cobb-Douglas Preferences under Uncertainty

N/D

Orientador

Co-orientadores

Citações na Scopus

Tipo de documento

Working Paper

Data

2012

Unidades Organizacionais

Resumo

This paper axiomatizes Cobb-Douglas preferences under uncertainty. First, we extend the original Trockel (1989)'s axiomatic foundation to a general state space framework based on the Strong Homotheticity Axiom, obtaining also the incomplete case a la Bewley (2002). We show that this key axiom for the Cobb Douglas expected utility speci cation is refuted by Ellsberg's uncertainty aver sion behavioral pattern. Our main result provides a set of meaningful axioms characterizing Cobb-Douglas Min-Expected Utility preferences, an important class of uncertainty averse preferences for studying the consequences of am biguity in nance and other elds. Finally, we present brie y how to obtain more general representations like the variational case.

Palavras-chave

Titulo de periódico

URL da fonte

Título de Livro

URL na Scopus

Idioma

Inglês

Notas

Membros da banca

Área do Conhecimento CNPQ

Ciências Sociais Aplicadas

Citação

Avaliação

Revisão

Suplementado Por

Referenciado Por