主题Topic：Uncertainty AverseMean Variance Utility
时间Time：6月3号（周五）｜ June 3rd (Friday), 10:10–11:30 am
地点Venue：｜Room208, WENBO
主讲人Speaker：瞿翔宇老师，现任巴黎第二大学研究员、巴黎政治学院讲师。2012年获美国俄亥俄州立大学经济学博士。文章发表于：Economic Theory (SSCI)、 Economics Letters（SSCI）等国际权威学术期刊上。
研究领域: 微观经济学理论、决策论、博弈论、行为经济学
Research Area: MicroeconomicTheory，Decision Theory，GameTheory，Behavioral Economics
Abstract:
This paper proposes a new model of decisionunder uncertainty deemed uncertainty averse mean variance utility, or UAMV,which can properly address the two problems above. In this model, an uncertainprospect, or Savage act, is assessed according to (a) a baselineexpected-utility evaluation, and (b) an adjustment that reflects theindividual's perception of ambiguity and her attitudes toward it. Theadjustment is a function of the variance of its utility profile. The keyelements of the UAMV model are a baseline probability and the adjustmentvariance, which represent individual's attitude toward ambiguity. A behavioralcharacterization of the UAMVU model is provided.
Furthermore, we solve the correspondingportfolio allocation problem based on UAMV. In the problem with a risk-free, arisky and an ambiguous prospects, we find that optimal portfolio depends on theadjustment variance.The tractability of the enhanced mean variance utilitymakes our model especially well suited for various portfolio allocationproblems under ambiguity.
