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UBC Theses and Dissertations
Partial ordering of risky choices : anchoring, preference for flexibility and applications to asset pricing Sagi, Jacob S.
Abstract
This dissertation describes two theories of risky choice based on a normatively axiomatized partial order. The first theory is an atemporal alternative to von Neumann and Morgenstern's Expected Utility Theory that accommodates the status quo bias, violations of Independence and preference reversals. The second theory is an extension of the Inter-temporal von Neumann-Morgenstern theory of Kreps and Porteus (1978) that features a normatively deduced preference for flexibility. A substantial part of the thesis is devoted to examining equilibrium implications of the inter-temporal theory. In particular, a multi-agent multi-period Bayesian rational expectations equilibrium is shown to exist under certain conditions. Implications to asset pricing are then investigated with an explicit parameterization of the model.
Item Metadata
Title |
Partial ordering of risky choices : anchoring, preference for flexibility and applications to asset pricing
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Creator | |
Publisher |
University of British Columbia
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Date Issued |
2000
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Description |
This dissertation describes two theories of risky choice based on a normatively axiomatized
partial order. The first theory is an atemporal alternative to von Neumann
and Morgenstern's Expected Utility Theory that accommodates the status quo bias, violations
of Independence and preference reversals. The second theory is an extension of
the Inter-temporal von Neumann-Morgenstern theory of Kreps and Porteus (1978) that
features a normatively deduced preference for flexibility. A substantial part of the thesis
is devoted to examining equilibrium implications of the inter-temporal theory. In particular,
a multi-agent multi-period Bayesian rational expectations equilibrium is shown to
exist under certain conditions. Implications to asset pricing are then investigated with
an explicit parameterization of the model.
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Extent |
6932226 bytes
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Genre | |
Type | |
File Format |
application/pdf
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Language |
eng
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Date Available |
2009-07-23
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Provider |
Vancouver : University of British Columbia Library
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Rights |
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.
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DOI |
10.14288/1.0089874
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URI | |
Degree | |
Program | |
Affiliation | |
Degree Grantor |
University of British Columbia
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Graduation Date |
2000-11
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Campus | |
Scholarly Level |
Graduate
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Aggregated Source Repository |
DSpace
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Item Media
Item Citations and Data
Rights
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.