文档介绍：Chapter Twelve
Uncertainty
不确定性
Structure
State contingent consumption (依情形而定的消费)
Preferences under uncertainty
Attitudes toward risk
State-contingent budget constraint
Choice under uncertainty
Diversification and risk spreading
Uncertainty is Pervasive
What is uncertain in economic systems?
tomorrow’s prices
future wealth
future availability modities
present and future actions of other people.
Uncertainty is Pervasive
What are rational responses to uncertainty?
buying insurance (health, life, auto)
a portfolio of contingent consumption goods.
States of Nature
Possible states of Nature:
“car accident”(a)
“no car accident”(na).
Accident occurs with probability a, does not with probability na ; a + na = 1.
Accident causes a loss of $L.
Contingencies
A contract implemented only when a particular state of Nature occurs is state-contingent.
. the insurer pays only if there is an accident.
Contingencies
A state-contingent consumption plan is implemented only when a particular state of Nature occurs.
. take a vacation only if there is no accident.
Preferences Under Uncertainty
2 states of nature:
At probability a , consumption is ca
At probability na , consumption a
a + na = 1.
Utility is U(ca, cna, a, na).
Preferences Under Uncertainty
Expected utility function
Von-Neuman-Morgenstern utility function
Positive affine transformation
v(u)=au+b, a>0
Preferences Toward Risk
Risk averse
Risk neutral
Risk loving