Cobb-Douglas Preferences under Uncertainty
dc.contributor.author | JOSÉ HELENO FARO | |
dc.coverage.cidade | São Paulo | pt_BR |
dc.coverage.pais | Brasil | pt_BR |
dc.date.accessioned | 2023-07-24T16:44:33Z | |
dc.date.available | 2023-07-24T16:44:33Z | |
dc.date.issued | 2012 | |
dc.description.abstract | 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. | |
dc.description.other | 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 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.extent | 16 p. | pt_BR |
dc.format.medium | Digital | pt_BR |
dc.identifier.issue | BEWP 150/2012 | |
dc.identifier.uri | https://repositorio.insper.edu.br/handle/11224/5917 | |
dc.language.iso | Inglês | pt_BR |
dc.publisher | Insper | pt_BR |
dc.relation.ispartofseries | Insper Working Paper | pt_BR |
dc.rights.license | O 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 EDITOR | pt_BR |
dc.title | Cobb-Douglas Preferences under Uncertainty | pt_BR |
dc.type | working paper | |
dspace.entity.type | Publication | |
local.subject.cnpq | Ciências Sociais Aplicadas | pt_BR |
local.type | Working Paper | pt_BR |
relation.isAuthorOfPublication | 6f68f2a4-9e10-4c94-a5e8-62ba771c81d7 | |
relation.isAuthorOfPublication.latestForDiscovery | 6f68f2a4-9e10-4c94-a5e8-62ba771c81d7 |
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