Cobb-Douglas Preferences under Uncertainty

dc.contributor.authorJOSÉ HELENO FARO
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.date.accessioned2023-07-24T16:44:33Z
dc.date.available2023-07-24T16:44:33Z
dc.date.issued2012
dc.description.abstractThis 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.
dc.description.otherThis 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 CobbDouglas expected utility specication is refuted by Ellsberg's uncertainty aversion 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 ambiguity in nance and other elds. Finally, we present briey how to obtain more general representations like the variational case. JEL Classication: D81. Keywords: Cobb-Douglas preferences, Expected utility, Ellsberg paradox, Knightian uncertainty, Incomplete preferences, MEU preferences.pt_BR
dc.format.extent16 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.issueBEWP 150/2012
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5917
dc.language.isoInglêspt_BR
dc.publisherInsperpt_BR
dc.relation.ispartofseriesInsper Working Paperpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.titleCobb-Douglas Preferences under Uncertaintypt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR
relation.isAuthorOfPublication6f68f2a4-9e10-4c94-a5e8-62ba771c81d7
relation.isAuthorOfPublication.latestForDiscovery6f68f2a4-9e10-4c94-a5e8-62ba771c81d7

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