Research Seminars

Self Control, Risk Aversion, and the Allais Paradox.

Speaker: Drew FUDENBERG
Harvard

24 March 2009 - From 14h30 to 16h30

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We develop a dual-self model that is compatible with modern dynamic
macroeconomic theory and evidence, and calibrates it to make quantitatively
accurate predictions in experiments that display a wide range of behavioral
anomalies concerning risk, including the Allais paradox. To obtain a
quantitative fit, we extend the simpler "nightclub" model of Fudenberg and
Levine [2006] by introducing one additional choice (the choice of a
"nightclub," or more generally of anticipated consumption) and one
additional parameter that needs to be calibrated. We find that most of the
data can be explained with subjective interest rates in the range of 1-7%,
short-run relative risk aversion of about 2, and a time horizon of one day
for the short-run self.

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