| Grant number: | 18/00215-0 |
| Support Opportunities: | Scholarships abroad - Research Internship - Doctorate (Direct) |
| Start date: | September 01, 2018 |
| End date: | March 31, 2019 |
| Field of knowledge: | Applied Social Sciences - Economics - Economic Theory |
| Principal Investigator: | José Heleno Faro |
| Grantee: | Ana Carolina Tereza Ramos de Oliveira dos Santos |
| Supervisor: | Lorenzo Bastianello |
| Host Institution: | Instituto de Ensino e Pesquisa (Insper). São Paulo , SP, Brazil |
| Institution abroad: | Université Paris 2 Panthéon-Assas, France |
| Associated to the scholarship: | 17/09955-4 - Essays on decision theory, BP.DD |
Abstract A well-known problem in the literature of decision making under uncertainty is that for a given Maxmin Expected Utility (MEU) preference and an arbitrary partial resolution of uncertainty, in general, violation of dynamic consistency holds. The research question that motivates this work is: how should one incorporate attitudes of both ambiguity aversion and aversion to violations of dynamic consistency in a parsimonious model of decision making under uncertainty? It is important to understand how an ambiguity averse agent would react when new information becomes available if, a priori, he is concerned about possible violations of dynamic consistency. This issue is relevant not only because most of the problems in economics are sequential, but also because this approach is necessary for applications such as game theory and finance. We aim to provide a behavioral explanation and an axiomatic foundation for rectangular sets of priors. First, we will define a preference relation called "strong unambiguous preference". Then, starting with a MEU preference, our goal is to derive a complete preference that is averse both to ambiguity and to violations of dynamic consistency. The methodology to be used is axiomatic and the analysis of results will be made by comparing the main theorem and its unfolding with the literature. (AU) | |
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