Show simple item record

Mixture-Averse Preferences and Heterogeneous Stock Market Participation

dc.contributor.author Sarver, TD
dc.date.accessioned 2016-12-07T15:58:42Z
dc.date.issued 2016-09-09
dc.identifier.uri http://hdl.handle.net/10161/13253
dc.description.abstract To study intertemporal decisions under risk, we develop a new recursive model of non-expected-utility preferences. The main axiom of our analysis is called mixture aversion, as it captures a dislike of probabilistic mixtures of lotteries. Our representation for mixture-averse preferences can be interpreted as if an individual optimally selects her risk attitude from some feasible set. The representation includes special cases where the choice of risk attitude takes the form of an optimal selection of a reference point. We analyze the implications of the model for both insurance and investment decisions. The main application of the paper shows that mixture-averse preferences can generate endogenous heterogeneity in equilibrium stock market participation, even when consumers have identical preferences and even among wealthy households.
dc.format.extent 75 pages
dc.relation.ispartof Economic Research Initiatives at Duke (ERID)
dc.subject Mixture Aversion
dc.subject Optimal Risk Attitude
dc.subject Reference Point
dc.subject Sotck Market Participation
dc.subject Equity Premium Puzzle
dc.title Mixture-Averse Preferences and Heterogeneous Stock Market Participation
dc.type Journal article
pubs.issue 229
pubs.organisational-group Duke
pubs.organisational-group Economics
pubs.organisational-group Trinity College of Arts & Sciences


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record