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dc.contributor.authorMihm, Maximilianen_US
dc.date.accessioned2012-12-17T13:50:55Z
dc.date.available2016-12-30T06:46:54Z
dc.date.issued2011-08-31en_US
dc.identifier.urihttps://hdl.handle.net/1813/30686
dc.description.abstractThis dissertation contributes to the growing literature in economics on ambiguity aversion. I identify an implicit reference-point assumption in the multiple priors model of Gilboa and Schmeidler (1989), generalize their decision theory to allow for stochastic reference-points, and study the market implications of endowment-dependent ambiguity aversion. Chapter 2 identifies the implicit reference-point assumption in the multiple priors model and provides an axiomatic characterization of a reference-dependent multiple priors model. I also provide an axiomatic characterization of a reference-dependent version of the Choquet Expected Utility model of Schmeidler (1989), which can accommodate different attitudes towards ambiguity. Chapter 3 studies the implications of reference-dependent ambiguity aversion when reference points are given by the endowment in an Arrow-Debreu exchange economy. I illustrate that no-trade and underinsurance are robust implications of ambiguity aversion when investors view ambiguity from the perspective of their endowments. Chapter 4 extends the decision model to intertemporal choice problems and studies the effects of reference-dependent ambiguity aversion in the context of a dynamic asset pricing model.en_US
dc.language.isoen_USen_US
dc.subjectAmbiguity aversionen_US
dc.subjectReference-pointsen_US
dc.subjectNo-tradeen_US
dc.titleReference-Dependent Ambiguity Aversionen_US
dc.typedissertation or thesisen_US
thesis.degree.disciplineEconomics
thesis.degree.grantorCornell Universityen_US
thesis.degree.levelDoctor of Philosophy
thesis.degree.namePh. D., Economics
dc.contributor.chairEasley, David Alanen_US
dc.contributor.committeeMemberShell, Karlen_US
dc.contributor.committeeMemberBlume, Lawrence Edwarden_US


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