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The Structure of Preferences and Attitudes towards the Timing of the Resolution of Uncertainty

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  • Chew, Soo Hong
  • Epstein, Larry G

Abstract

This paper is concerned with the phenomenon of preference for timing in the temporal resolution of uncertainty and its implications for the structure of utility functionals defined on multiperiod consumption programs. Several postulates concerning attitudes towards timing are stated using a new definition of timing premium for early resolution of uncertainty. The analysis provides an axiomatic basis for the specifications of expected utility and the more general weighted utility and implicit weighted utility functionals in temporal models. Copyright 1989 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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Bibliographic Info

Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 30 (1989)
Issue (Month): 1 (February)
Pages: 103-17

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Handle: RePEc:ier:iecrev:v:30:y:1989:i:1:p:103-17

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Cited by:
  1. Grant, S. & Polak, B. & Kajii, A., 1996. "Preference for Information," Papers 298, Australian National University - Department of Economics.
  2. Tan Wang, 2000. "Updating Rules for Non-Bayesian Preferences," Econometric Society World Congress 2000 Contributed Papers 0157, Econometric Society.
  3. Kam Yu, 2008. "Measuring the Output and Prices of the Lottery Sector: An Application of Implicit Expected Utility Theory," NBER Working Papers 14020, National Bureau of Economic Research, Inc.
  4. Wang, Tan, 2003. "Conditional preferences and updating," Journal of Economic Theory, Elsevier, vol. 108(2), pages 286-321, February.
  5. Pakos, Michal, 2013. "Long-Run Risk and Hidden Growth Persistence," MPRA Paper 47217, University Library of Munich, Germany.
  6. Ma, Chenghu, 1998. "Attitudes toward the timing of resolution of uncertainty and the existence of recursive utility," Journal of Economic Dynamics and Control, Elsevier, vol. 23(1), pages 97-112, September.
  7. David Dillenberger, 2008. "Preferences for One-Shot Resolution of Uncertainty and Allais-Type Behavior," PIER Working Paper Archive 08-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  8. Dillenberger, David, 2008. "Preferences for One-Shot Resolution of Uncertainty and Allais-Type Behavior," MPRA Paper 8342, University Library of Munich, Germany.
  9. John, Kose & Reisz, Alexander S., 2010. "Temporal resolution of uncertainty, disclosure policy, and corporate debt yields," Journal of Corporate Finance, Elsevier, vol. 16(5), pages 655-678, December.
  10. Grant, S & Kajii, A & Polak, B, 1997. "Intrinsic Preference for Information," Papers 323, Australian National University - Department of Economics.
  11. Schroder, Mark & Skiadas, Costis, 1999. "Optimal Consumption and Portfolio Selection with Stochastic Differential Utility," Journal of Economic Theory, Elsevier, vol. 89(1), pages 68-126, November.
  12. John Hey & Massimo Paradiso., . "Dynamic Choice and Timing-Independence: an experimental investigation," Discussion Papers 99/26, Department of Economics, University of York.
  13. Simon Grant & Atsushi Kajii & Ben Polak, 1999. "Preference for Information and Dynamic Consistency," Cowles Foundation Discussion Papers 1208, Cowles Foundation for Research in Economics, Yale University.
  14. Ligon, James A. & Cather, David A., 1997. "The informational value of insurance purchases: Evidence from the property-liability insurance market," Journal of Banking & Finance, Elsevier, vol. 21(7), pages 989-1016, July.
  15. Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 417-453, November.

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