Learning and risk aversion

Oyarzun, Carlos and Sarin, Rajiv (2013) Learning and risk aversion. Journal of Economic Theory, 148 1: 196-225. doi:10.1016/j.jet.2012.09.011

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Author Oyarzun, Carlos
Sarin, Rajiv
Title Learning and risk aversion
Journal name Journal of Economic Theory   Check publisher's open access policy
ISSN 0022-0531
Publication date 2013-01-01
Year available 2012
Sub-type Article (original research)
DOI 10.1016/j.jet.2012.09.011
Open Access Status Not yet assessed
Volume 148
Issue 1
Start page 196
End page 225
Total pages 30
Place of publication Maryland Heights, MO, United States
Publisher Academic Press
Language eng
Subject 2002 Economics and Econometrics
Abstract We study how learning shapes behavior towards risk when individuals are not assumed to know, or to have beliefs about, probability distributions. In any period, the behavior change induced by learning is assumed to depend on the action chosen and the payoff obtained. We characterize learning processes that, in expected value, increase the probability of choosing the safest actions and provide sufficient conditions for them to converge to the choices of risk averse expected utility maximizers. We provide a learning theoretic motivation for long run risk choices, such as those in expected utility theory with known payoff distributions.
Keyword Reinforcement learning
Risk aversion
Expected utility
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Available online: 2 October 2012.

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2013 Collection
School of Economics Publications
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Citation counts: TR Web of Science Citation Count  Cited 4 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 5 times in Scopus Article | Citations
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Created: Wed, 24 Oct 2012, 20:34:31 EST by Alys Hohnen on behalf of School of Economics