研讨论文

Identification of smooth ambiguity

主讲人

宋信息（副教授，首都经济贸易大学 国际经济管理学院）

内容简介

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.

作者简介

英国华威大学经济学博士，主要研究集中在显示性偏好理论、机制设计理论、一般均衡理论。论文发表于Journal of Mathematical Economics、Economics Letters、《经济学报》等国内外经济学期刊。担任 Canadian Journal of Economics, Journal of Economic Theory、Journal of Public Economic Theory等期刊审稿人。

点评老师

张志祥、尹训东、史博文

时间

10月9日 (晚上6：00-8：00）

线下地址

学术会堂712

活动对象

创新发展学院学生

人数规模

30人

主办单位

创新发展学院

文字：宋信息

审稿：尹训东

排版：沈嘉怡

编辑：沈嘉怡

审核：王颖