Non-Expected Utility Theories: Axiomatizations and          Applications
{'Code': '04050100', 'Directorate': {'Abbreviation': 'SBE', 'LongName': 'Direct For Social, Behav & Economic Scie'}, 'Division': {'Abbreviation': 'SES', 'LongName': 'Divn Of Social and Economic Sciences'}}
{'SignBlockName': 'Daniel H. Newlon', 'PO_EMAI': None, 'PO_PHON': None}
Uncertainty pervades the economy.  Analysts have developed a                    number of tools for understanding choice under uncertainty.                     These tools are used by industry and government.  The traditional               expected utility paradigm is used in economics, psychology,                     decision theory and operations research to model choice under                   uncertainty.  But expected utility theory does not explain the                  results of many empirical tests.  This project is part of an                    interdisciplinary effort to develop an alternative to expected                  utility theory that better explains observed behavior.  This                    research project addresses a number of interrelated questions in                the theory of choice under uncertainty when preferences do not                  correspond to the expected utility model.                                                                                                                       The axiomatic work in the project focuses on a number of                        preferential attributes, namely, risk aversion, randomization                   preference, induced preference over assets, preference for the                  timing of resolution of uncertainty, and intertemporal                          substitution.  These attributes concern both atemporal and                      temporal aspects of decision making.  The project studies each of               them individually and also examines their interrelationships.                                                                                                   The primary application is to explore the implications of non-                  expected utility specifications for equilibrium asset prices.                   This work exploits the flexibility of non-expected utility                      specifications with regard to the separation of intertemporal                   substitution and risk aversion.  A general equilibrium, Lucas-                  style model of asset prices is developed and used to clarify the                link between preference theory and asset pricing theory.  Other                 applications relate the axiomatic work to behavior in economic                  contexts.  New perspectives, both atemporal and temporal, are                   applied to phenomena such as insurance demand and gambling.                                                                                                     This is an exciting project.  It could produce a new paradigm for               studying choice under uncertainty.  This paradigm would be more                 general than the traditional expected utility paradigm.  It would               be more consistent with observed behavior.  The decision making                 tools derived from this paradigm could be used by industry and                  government to make better decisions.
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{'Code': '1320', 'Text': 'Economics'}
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