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Contribution Details
| Type | Conference Presentation |
| Scope | Discipline-based scholarship |
| Title | Dynamic OCE Choice: Time Consistency and the Separation of Time and Risk |
| Organization Unit | |
| Authors |
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| Presentation Type | paper |
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published electronically before print/final form (Epub ahead of print) |
| Language |
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| Event Title | 34th Annual Congress of the European Economic Association |
| Event Type | conference |
| Event Location | Manchester UK |
| Event Start Date | August 26 - 2019 |
| Event End Date | August 30 - 2019 |
| Abstract Text | No existing dynamic preference model can simultaneously satisfy time consistency, the full separation of time and risk preferences, and temporal resolution of risk indi§erence. In the context of consumption-saving and consumption-portfolio optimization problems, we derive necessary and sufÖcient conditions such that all three of these properties are satisÖed by the dynamic ordinal certainty equivalent (DOCE) preference structure axiomatized in Selden and Stux (1978). These conditions ensure that DOCE resolute, naive and sophisticated consumption and asset demands are (i) identical and (ii) the same as the demands generated by Kreps and Porteus (1978) (KP) preferences. When the conditions are violated, the elasticity of intertemporal substitution can play a key role in determining whether axiomatic di§erences between the DOCE and KP preference models imply signiÖcantly di§erent demand behavior. |
| Official URL | https://editorialexpress.com/conference/EEAESEM2019/program/EEAESEM2019#block_detail_2 |
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