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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.

Suggested Citation

  • Chew, Soo Hong & Epstein, Larry G, 1989. "The Structure of Preferences and Attitudes towards the Timing of the Resolution of Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(1), pages 103-117, February.
  • Handle: RePEc:ier:iecrev:v:30:y:1989:i:1:p:103-17
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    Cited by:

    1. 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.
    2. Kam Yu, 2009. "Measuring the Output and Prices of the Lottery Sector: An Application of Implicit Expected Utility Theory," NBER Chapters,in: Price Index Concepts and Measurement, pages 405-425 National Bureau of Economic Research, Inc.
    3. Grant, Simon & Kajii, Atsushi & Polak, Ben, 1998. "Intrinsic Preference for Information," Journal of Economic Theory, Elsevier, vol. 83(2), pages 233-259, December.
    4. John Hey & Massimo Paradiso., "undated". "Dynamic Choice and Timing-Independence: an experimental investigation," Discussion Papers 99/26, Department of Economics, University of York.
    5. 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.
    6. Wang, Tan, 2003. "Conditional preferences and updating," Journal of Economic Theory, Elsevier, vol. 108(2), pages 286-321, February.
    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. 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.
    9. Simon Grant & Atsushi Kajii & Ben Polak, 1996. "Preference for Information," Cowles Foundation Discussion Papers 1114, Cowles Foundation for Research in Economics, Yale University.
    10. PakoŇ°, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
    11. James E. Smith, 1998. "Evaluating Income Streams: A Decision Analysis Approach," Management Science, INFORMS, vol. 44(12-Part-1), pages 1690-1708, December.
    12. Simon Grant & Atsushi Kajii & Ben Polak, 2000. "Preference for Information and Dynamic Consistency," Theory and Decision, Springer, vol. 48(3), pages 263-286, May.
    13. Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 417-453, November.
    14. Tan Wang, 2000. "Updating Rules for Non-Bayesian Preferences," Econometric Society World Congress 2000 Contributed Papers 0157, Econometric Society.
    15. Dillenberger, David, 2008. "Preferences for One-Shot Resolution of Uncertainty and Allais-Type Behavior," MPRA Paper 8342, University Library of Munich, Germany.
    16. 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.

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