TY - JOUR

T1 - Learning and risk aversion

AU - Oyarzun, C.

AU - Sarin, R.

N1 - Copyright 2012 Elsevier B.V., All rights reserved.

PY - 2013/1

Y1 - 2013/1

N2 - 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.

AB - 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.

U2 - 10.1016/j.jet.2012.09.011

DO - 10.1016/j.jet.2012.09.011

M3 - Article

AN - SCOPUS:84873722586

SN - 0022-0531

VL - 148

SP - 196

EP - 225

JO - Journal of Economic Theory

JF - Journal of Economic Theory

IS - 1

ER -