风险条件下的选择包围理论
A Theory of Choice Bracketing under Risk
摘要：
从多个来源汇总风险可能是复杂和苛刻的，决策者通常采用风险评估来简化评估过程。本文通过放松期望效用理论中的独立性公理，将两种密切相关但又不同的方法--窄括号法和相关忽略法公理化。我们的框架的灵活性允许在各种经济问题的应用。首先，我们的模型可以解释货币赌博的窄括号的实验证据。第二，当一个来源代表背景风险时，我们可以接受Rabin（2000）的批评，并解释小赌博的风险厌恶。最后，当不同的来源代表在不同时期的消费，我们统一了三个看似不同的时间偏好模型，并提出了一个新的模型，同时满足冷漠的时间分辨率的不确定性，分离的时间和风险偏好，和递归领域的彩票。作为对宏观经济学和金融学的直接应用，我们提供了一种替代Epstein和Zin（1989）的方法，它避免了Epstein，Farhi和Strzalecki（2014）中讨论的不合理的高时间溢价。
英文摘要：
Aggregating risks from multiple sources can be complex and demanding, and decision makers usually adopt heuristics to simplify the evaluation process. This paper axiomatizes two closed related and yet different heuristics, narrow bracketing and correlation neglect, by relaxing the independence axiom in the expected utility theory. The flexibility of our framework allows for applications in various economic problems. First, our model can explain the experimental evidence of narrow bracketing over monetary gambles. Second, when one source represents background risk, we can accommodate Rabin (2000)'s critique and explain risk aversion over small gambles. Finally, when different sources represent consumptions in different periods, we unify three seemingly distinct models of time preferences and propose a novel model that simultaneously satisfies indifference to temporal resolution of uncertainty, separation of time and risk preferences, and recursivity in the domain of lotteries. As a direct application to macroeconomics and finance, we provide an alternative to Epstein and Zin (1989) which avoids the unreasonably high timing premium discussed in Epstein, Farhi, and Strzalecki (2014).
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