<p>This thesis addresses the issue of weighted cost-benefit analysis (WCBA). WCBA is a welfare evaluation model where income distribution effects are valued by distributional weighting. The method was developed already in the 1970s. The interest in and applications of this method have increased in the past decade, e.g. when evaluating of global environmental problems. There are, however, still unsolved problems regarding the application of this method. One such issue is the choice of the approach to the means of estimating of the distributional weights. The literature on WCBA suggests a couple of approaches, but gives no clues as to which one is the most appropriate one to use, either from a theoretical or from an empirical point of view. Accordingly, the choice of distributional weights may be an arbitrary one. In the first paper in this thesis, the consequences of the choice of distributional weights on project decisions have been studied. Different sets of distributional weights have been compared across a variety of strategically chosen income distribution effects. The distributional weights examined are those that correspond to the WCBA approaches commonly suggested in literature on the topic. The results indicate that the choice of distributional weights is of importance for the rank of projects only when the income distribution effects concern target populations with low incomes. The results also show that not only the mean income but also the span of incomes, of the target population of the income distribution effect, affects the result of the distributional weighting when applying very progressive non-linear distributional weights. This may cause the distributional weighting to indicate an income distribution effect even though the project effect is evenly distributed across the population.</p><p>One rational for distributional weighting, commonly referred to when applying WCBA, is that marginal utility of income is decreasing with income. In the second paper, this hypothesis is tested. My study contributes to this literature by employing stated preference data on compensated variation (CV) in a model flexible as to the functional form of the marginal utility. The results indicate that the marginal utility of income decreases linearly with income.</p><p>Under certain conditions, a decreasing marginal utility of income corresponds to risk aversion. Thus the hypothesis that marginal utility of income is decreasing with income can be tested by analyses of individuals’ behaviour in gambling situations. The third paper examines of the role of risk aversion, defined by the von Neumann-Morgenstern expected utility function, for people’s concern about the problem of ‘sick’ buildings. The analysis is based on data on the willingness to pay (WTP) for having the indoor air quality (IAQ) at home examined and diagnosed by experts and the WTP for acquiring an IAQ at home that is guaranteed to be good. The results indicate that some of the households are willing to pay for an elimination of the uncertainty of the IAQ at home, even though they are not willing to pay for an elimination of the risks for building related ill health. The probability to pay, for an elimination of the uncertainty of the indoor air quality at home, only because of risk aversion is estimated to 0.3-0.4. Risk aversion seems to be a more common motive, for the decision to pay for a diagnosis of the IAQ at home, among young people.</p><p>Another rationale for distributional weighting, commonly referred to, is the existence of unselfish motives for economic behaviour, such as social inequality aversion or altruism. In the fourth paper the hypothesis that people have altruistic preferences, i.e. that they care about other people’s well being, is tested. The WTP for a public project, that ensures good indoor air quality in all buildings, have been measured in three different ways for three randomly drawn sub-samples, capturing different motives for economic behaviour (pure altruism, paternalism and selfishness). The significance of different questions, and different motives, is analysed using an independent samples test of the mean WTPs of the sub-samples, a chi-square test of the association between the WTP and the sample group membership and an econometric analysis of the decision to pay to the public project. No evidence for altruism, either pure altruism or paternalism, is found in this study.</p>

This thesis consists of an introductory part and four self-contained papers related to individual financial behavior and risk-taking in financial markets. In Paper [I] we estimate within-family and community social interaction effects upon an individual’s stock market entry, participation, and exit decision. Interestingly, community sentiment towards the stock market (based on portfolio outcomes in the community) does not influence individuals’ likelihood to enter, while a positive sentiment increases (decreases) the likelihood of participation (exit). Overall, the results stress the importance of accounting for family social influence and highlight potentially important differences between family and community effects in individuals’ stock market participation. In Paper [II] novel evidence is provided indicating that the influence from family (parents and partners) and peer social interaction on individuals’ stock market participation vary over different types of individuals. Results imply that individuals’ exposure to, and valuation of, stock market related social signals are of importance and thus, contribute to the understanding of the heterogeneous influence of social interaction. Overall, the results are interesting and enhance the understanding of the underlying mechanisms of social interaction on individuals’ financial decision making. In Paper [III] the impact of divorce ­­­on individual financial behavior is empirically examined in a dynamic setting. Evidence that divorcing individuals increase their saving rates before the divorce is presented. This may be seen as a response to the increase in background risk that divorce produces. After the divorce, a negative divorce effect on individual saving rates and risky asset shares are established, which may lead to disparities in wealth accumulation possibilities between married and divorced. Women are, on average, shown to not adjust their precautionary savings to the same extent as men before the divorce. I also provide tentative evidence that women reduce their financial risk-taking more than men after a divorce, which could be a result of inequalities in financial positions or an adjustment towards individual preferences.   Paper [IV] provides novel empirical evidence that gender identity is of importance for individuals’ financial risk-taking. Specifically, by use of matching and by dividing male and females into those with “traditional” versus “nontraditional” gender identities, comparison of average risk-taking between groupings indicate that over a third (about 35-40%) of the identified total gender risk differential is explained by differences in gender identities. Results further indicate that risky financial market participation is 19 percentage points higher in groups of women with nontraditional, compared with traditional, gender identities. The results, obtained while conditioning upon a vast number of controls, are robust towards a large number of alternative explanations and indicate that some individuals (mainly women) partly are fostered by society, through identity formation and socially constructed norms, to a relatively lower financial risk-taking.

La crescente attenzione riguardo l’interconnessione tra agricoltura e aspetti ambientali così come la crescita di volatilità dei prezzi dei prodotti agricoli ha posto una nuova enfasi sull’introduzione di misure ambientali nella politiche agricole e sulla ricerca di nuovi strumenti di stabilizzazione del reddito degli agricoltori. La ricerca di questa tesi di dottorato si inserisce in questo contesto e analizza i contratti agro-ambientali, misure della Politica Agricola Comunitaria (PAC) in Unione Europea (UE), sotto una duplice prospettiva. Il primo lavoro di ricerca consiste in un’analisi degli effetti dell’adesione a tali contratti sulle scelte produttive e sulle perfomance economiche degli agricoltori in cinque Paesi dell’UE. I risultati indicano un’eterogeneità di questi effetti: in alcuni Paesi i contratti agro-ambientali sembrano essere più efficaci nel promuovere pratiche agricole sostenibili, così come in alcuni Paesi il pagamento compensativo agro-ambientale sembra non essere sufficiente a compensare la perdita di reddito dei partecipanti. Questo studio è stato condotto combinando il Propensity Score Matching con lo stimatore Difference-in-Differences. Il secondo lavoro di ricerca sviluppa una nuova proposta metodologica che incorpora il rischio in un framework di Programmazione Matematica Positiva (PMP). Il modello elaborato presenta caratteri innovativi rispetto alla letteratura sull’argomento e permette di stimare simultaneamente i prezzi ombra delle risorse, la funzione di costo non lineare dell’azienda agricola e un coefficiente di avversione al rischio specifico per ciascuna azienda. Il modello è stato applicato a tre campioni di aziende e i risultati delle stime testano la calibrazione del modello e indicano valori del coefficiente di avversione al rischio coerenti con la letteratura. Infine il modello è stato impiegato nella simulazione di diversi scenari al fine di verificare il ruolo potenziale di un contratto agro-ambientale come strumento di gestione del rischio a diversi livelli di volatilità dei prezzi agricoli. / The increasing attention to the relationship between agriculture and the environment and the rise in price volatility on agricultural markets has led to a new emphasis on agri-environmental policies as well as to a search for new risk management strategies for the farmer. The research objective of this PhD thesis is in line with this challenging context, since it provides an analysis of the EU agri-environmental schemes (AESs) from two viewpoints. First, an ex-post analysis aims at investigating the AESs for their traditional role as measures which encourage sustainable farming while compensating the farmer for the income foregone in five EU Member States. The effects of AESs participation on farmer’s production plans and economic performances differs widely across Member States and in some of them the environmental payment is not enough to compensate the income foregone of participants. This study has been performed by applying a semi-parametric technique which combines a Difference-in-Differences estimator with a Propensity Score Matching estimator. The second piece of research develops a new methodological proposal to incorporate risk into a farm level Positive Mathematical Programming (PMP) model. The model presents some innovations with respect to the previous literature and estimates simultaneously the resource shadow prices, the farm non-linear cost function and a farm-specific coefficient of absolute risk aversion. The proposed model has been applied to three farm samples and the estimation results confirm the calibration ability of the model and show values for risk aversion coefficients consistent with the literature. Finally different scenarios have been simulated to test the potential role of an AES as risk management tool under different scenarios of crop price volatility.

本文旨在探討具有捕捉交易密集度特性的波動率測度模型是否能幫助投資者改 善其資產配置的決策。因此，本文分別考量了利用兩種不同價格抽樣方式所計算 出來的實現波動率 (realized volatility) 模型： (1) 日曆時間抽樣法 (calendar time sampling scheme) 與 (2) 交易次數時間抽樣法 (transaction time sampling scheme)。相較於另一廣為應用的一般化自我迴歸條件異質變異 (Generalized Autoregressive Conditional Heteroskedasticity) 模型而言，這兩種實現波動率模型的優點除了在於它們可以捕捉日內資產報酬率的動態變化之外，交易次數時間抽樣法更可以另外捕捉市場的交易密集度。因此利用交易次數間抽樣法所計算出的實現波動率相對提供給投資者較多的訊息。本文利用了West, Edison and Cho (1993) 所提出的資產組合期望效用模型衡量三種波動率測度的預測績效：(1) 實現波動率 - 日曆時間抽樣法 (2) 實現波動率 - 交易次數時間抽樣法 (3) 指數型一般化自我迴歸條件異質變異 (Exponential Generalized Autoregressive Conditional Heteroskedasticity)。我們的實證結果發現，只有在投資者風險趨避係數越小的條件下，此三種波動率測度模型兩兩之間才有較大的期望效用差距；另外，有趣的是，當市場存在異常的交易波動現象時，交易次數時間抽樣法下的實現波動率所產生的期望效用值總是不輸給另外兩種波動率測度模型的結果。 / This paper examines whether volatility measures that account for trading intensity would help investors make better decisions in their asset allocation. Specifically, we consider two versions of realized volatility (RV), namely, one (RV-C) constructed by regular calendar time sampling, and the other one (RV-T) constructed by transaction time sampling. Comparing to models in the GARCH family, both of these two RVs can capture intraday variations of asset return dynamics. In particular, the RV-T incorporates intraday trading intensity, and hence provides even more valuable information for investors. With the utility-based approach developed by West, Edison, and Cho (1993), we compare the predictive performance of RV-C, RV-T, and the EGARCH model in terms of utility generated with each of these three volatility measures. Our empirical results show that the three measures differ from each other mostly when investors are less risk-averse. Most interestingly, the time-deformed RV-T weakly dominates the RV-C and the EGARCH model when the markets are extremely volatile.

This thesis addresses the issue of weighted cost-benefit analysis (WCBA). WCBA is a welfare evaluation model where income distribution effects are valued by distributional weighting. The method was developed already in the 1970s. The interest in and applications of this method have increased in the past decade, e.g. when evaluating of global environmental problems. There are, however, still unsolved problems regarding the application of this method. One such issue is the choice of the approach to the means of estimating of the distributional weights. The literature on WCBA suggests a couple of approaches, but gives no clues as to which one is the most appropriate one to use, either from a theoretical or from an empirical point of view. Accordingly, the choice of distributional weights may be an arbitrary one. In the first paper in this thesis, the consequences of the choice of distributional weights on project decisions have been studied. Different sets of distributional weights have been compared across a variety of strategically chosen income distribution effects. The distributional weights examined are those that correspond to the WCBA approaches commonly suggested in literature on the topic. The results indicate that the choice of distributional weights is of importance for the rank of projects only when the income distribution effects concern target populations with low incomes. The results also show that not only the mean income but also the span of incomes, of the target population of the income distribution effect, affects the result of the distributional weighting when applying very progressive non-linear distributional weights. This may cause the distributional weighting to indicate an income distribution effect even though the project effect is evenly distributed across the population. One rational for distributional weighting, commonly referred to when applying WCBA, is that marginal utility of income is decreasing with income. In the second paper, this hypothesis is tested. My study contributes to this literature by employing stated preference data on compensated variation (CV) in a model flexible as to the functional form of the marginal utility. The results indicate that the marginal utility of income decreases linearly with income. Under certain conditions, a decreasing marginal utility of income corresponds to risk aversion. Thus the hypothesis that marginal utility of income is decreasing with income can be tested by analyses of individuals’ behaviour in gambling situations. The third paper examines of the role of risk aversion, defined by the von Neumann-Morgenstern expected utility function, for people’s concern about the problem of ‘sick’ buildings. The analysis is based on data on the willingness to pay (WTP) for having the indoor air quality (IAQ) at home examined and diagnosed by experts and the WTP for acquiring an IAQ at home that is guaranteed to be good. The results indicate that some of the households are willing to pay for an elimination of the uncertainty of the IAQ at home, even though they are not willing to pay for an elimination of the risks for building related ill health. The probability to pay, for an elimination of the uncertainty of the indoor air quality at home, only because of risk aversion is estimated to 0.3-0.4. Risk aversion seems to be a more common motive, for the decision to pay for a diagnosis of the IAQ at home, among young people. Another rationale for distributional weighting, commonly referred to, is the existence of unselfish motives for economic behaviour, such as social inequality aversion or altruism. In the fourth paper the hypothesis that people have altruistic preferences, i.e. that they care about other people’s well being, is tested. The WTP for a public project, that ensures good indoor air quality in all buildings, have been measured in three different ways for three randomly drawn sub-samples, capturing different motives for economic behaviour (pure altruism, paternalism and selfishness). The significance of different questions, and different motives, is analysed using an independent samples test of the mean WTPs of the sub-samples, a chi-square test of the association between the WTP and the sample group membership and an econometric analysis of the decision to pay to the public project. No evidence for altruism, either pure altruism or paternalism, is found in this study.

This dissertation is a participant observer’s account of implementing a multisite, randomised controlled trial within Her Majesty’s Prison Service. It adds to a scarce literature detailing the steps involved in implementing experiments in custodial settings by providing a candid account of the route from planning to successful implementation. The randomised controlled trial was designed to evaluate the effectiveness of the Sycamore Tree Programme. This programme’s goal is to teach prisoners the wider harm of crime and includes a face-to-face meeting between a victim of crime and the participating offenders. It derives its rehabilitative potential from restorative justice and seeks to foster hope that change is possible for offenders, thus aiding them to desist from crime. Its development and theoretical basis are described for the first time. In an in-depth narrative the dissertation details how at every stage strategies were developed to manage participant procurement, random assignment, maintaining treatment integrity, and preparing for final outcome measurements. The randomised controlled trial was designed to produce an individual experiment in eight prisons. These will be combined in a meta-analysis as well as analysed as a pooled sample. Overall the implementation process took close to two years and involved a charitable body, Her Majesty’s Prison Service, the National Offender Management Service, and two police forces. This work has demonstrated how the unstable nature of English prison populations and the risk-averse climate must be addressed when conducting experiments in that environment. It has also illustrated the gap between the rhetoric of evidence-based policy and the facilitation of research designed to seek that evidence. Nevertheless, developing trusting relationships and combining rapidly learnt skills with inherent abilities ensured that the evaluation methodology was supported and protected through the various challenges it met. Finally, the dissertation suggests conditions for closer collaboration between government executive bodies and researchers that might increase the number of experiments undertaken in prisons. It also aims to encourage researchers that prison experiments, although not easy, are feasible, defendable, and, above all, worthwhile.

Cette thèse s’attèle à déterminer les conséquences théoriques et empiriques de la considération d’indicateurs socialement responsables dans la sélection de portefeuille traditionnelle. Le premier chapitre étudie la significativité de la perte d’efficience moyenne-variance d’un portefeuille d’obligations souveraines lorsque l’on introduit une contrainte sur la notation socialement responsable moyenne des Etats. En utilisant un échantillon d’obligations d’Etats développés sur la période 1995-2008, nous montrons qu’il est possible d’augmenter sensiblement la notation socialement responsable moyenne sans perdre significativement en termes de diversification. Le second chapitre propose une analyse théorique de l’effet sur la frontière efficiente d’une contrainte sur la notation socialement responsable du portefeuille. Nous mettons en évidence les différents cas de figure pouvant se produire en fonction de la corrélation entre les rendements attendus et les notations socialement responsables et de l’aversion au risque de l’investisseur. Enfin, puisque la question de l’efficience des portefeuilles investis en fonction de critères socialement responsables fait débat dans la littérature financière, un dernier chapitre propose un nouveau test d’efficience moyenne-variance dans le cas réaliste où aucun actif sans risque n’est disponible. / This thesis aims at determining the theoretical and empirical consequences of the consideration of socially responsible indicators in the traditional portfolio selection. The first chapter studies the significance of the mean-variance efficiency loss of a sovereign bond portfolio when introducing a constraint on the average socially responsible ratings of the governments. By using a sample of developed sovereign bonds on the period 1995-2008, we show that it is possible to increase sensibly the average socially responsible rating without significantly losing in terms of diversification. The second chapter proposes a theoretical analysis of the impact on the efficient frontier of a constraint on the socially responsible ratings of the portfolio. We highlight that different cases may arise depending on the correlation between the expected returns and the socially responsible ratings and on the investor’s risk aversion. Lastly, as the issue of the efficiency of socially responsible portfolios is a central point in the financial literature, the last chapter proposes a new mean-variance efficiency test in the realistic case where there is no available risk-free asset.

Abstract This dissertation contributes to the research on behavioral biases among individual investors by demonstrating how investors increase their portfolio volatility, i.e., risk, following favorable outcomes. This work also shows the influence of the first investment on subsequent risk-taking preferences. It also shows how stock prices, through unrealized capital gains, create an evident momentum effect following both bull and bear markets. The work is quite new because house money, quasi-hedonic editing rules and mental accounting are not frequently used in the financial literature. The data used are from the Finnish Central Securities Depository (FCSD), which is unique in the financial research literature. The results of the first essay indicate that individual investors purchase stocks that increase portfolio risk or volatility after a period of negative market returns. These results propose that investors attribute these returns to themselves. Therefore, they are supporting a self-attribution bias. Ergo, investors gamble with their winnings over the next investment session. This behavior is consistent with the house money effect, which has not been before analyzed in the background of the stock market. Inexperienced investors are particularly prone to this effect. The second essay investigates the effect of the outcome of the first investment on subsequent risk-taking preferences, which has not been previously analyzed in the context of financial markets. The database allows for analyses of new investors making their first stock market investment. The results show that in first or subsequent investments the win effect is stronger. The effect in the first investment situation results in higher volatility. Therefore, the result suggests that realized money is more likely to be risked in the situation of the first stock than in the situation of the other stocks. The third essay, using a technique not before applied to research regarding momentum asymmetry, shows that deviations from the holdings- or volume-based reference price, i.e., the so-called capital gains overhang, can account for momentum. The results propose that after accounting for the disposition effect, overconfidence and biased self-attribution are not able to explain momentum asymmetry. / Tiivistelmä Väitöskirja edistää yksittäisten sijoittajien käyttäytymishäiriöitä koskevaa tutkimusta osoittamalla, kuinka sijoittajat lisäävät salkun riskiä myönteisten tulosten jälkeen. Väitöskirja osoittaa myös, kuinka sijoittajat lisäävät salkun riskisyyttä ensimmäistä investointia myöhemmille riskinottopäätöksille. Se esittää myös, kuinka realisoitumattomat myyntivoitot aiheuttavat ilmeisen momentum-vaikutuksen, sekä nousevilla että laskevilla markkinoilla. Teos on melko uusi, koska talon rahoilla pelaamista, lähes-hedonisia muokkaussääntöjä ja henkistä kirjanpitoa ei käytetä kovin paljon talouskirjallisuudessa. Käytetyt tiedot ovat Rahoitustutkimuksen ainutlaatuinen Suomen Arvopaperikeskus (FCSD) aineisto. Ensimmäisessä esseessä, kun sijoittajat ovat saavuttaneet tuottoja negatiivisten markkinatuottojen jälkeen, he ostavat osakkeita, jotka lisäävät salkun riskisyyttä. Nämä tulokset viittaavat siihen, että sijoittajat määrittävät nämä tuotot itselleen. Siksi he tukevat itsemääräämisoikeutta, joten sijoittajat pelaavat voitoillaan seuraavan sijoituskauden aikana. Käyttäytyminen on yhdenmukainen talon rahan vaikutuksen kanssa. Vaikutus, jota ei ole aiemmin analysoitu osakemarkkinoiden yhteydessä. Kokemattomat sijoittajat ovat erityisen alttiita tästä vaikutuksesta. Toinen essee tutkii ensimmäisen investoinnin tuloksen vaikutusta myöhempään riskinottopäätökseen. Sitä ei ole aiemmin analysoitu rahoitusmarkkinoiden yhteydessä. Tietokannan avulla analysoidaan uusia sijoittajia, jotka tekevät ensimmäisen pörssi-investoinninsa. Tulokset osoittavat, että kummassakin tapauksessa, ensimmäiset tai toiset voitot, voittoefektit ovat voimakkaammat kuin voitto-dummy ja ensimmäisellä tasolla olevat voitot antavat suuremman vaikutuksen riskisyyteen. Kiinnostavaa on se, että tulo, joka kertoo, onko realisoitunut raha todennäköisemmin riski ensimmäisessä osakkeessa, on suurempi kuin riski muissa osakkeissa. Kolmas essee käyttää menetelmää, jota ei ole aikaisemmin käytetty momentum-symmetrian tutkimukseen. Tämä tutkimus osoittaa, että poikkeamat volyymi- tai omistukseen perustuvasta viitehinnasta, eli ns. myyntivoiton ylitys, voivat selittää momentumia. Tulokset viittaavat siihen, että disposition ja liiallisen itseluottamuksen ja harhaisen itse-attribuution jälkeen ei voida suurella todennäköisyydellä selittää momentumin epäsymmetriaa.

Submitted by Daniella Santos (daniella.santos@fgv.br) on 2010-03-11T13:25:30Z No. of bitstreams: 1 Tese_Fabio_Araujo_Final.pdf: 715897 bytes, checksum: 17afb0d85c3fff397df747b1a0d56bf9 (MD5) / Approved for entry into archive by Andrea Virginio Machado(andrea.machado@fgv.br) on 2010-03-12T13:27:41Z (GMT) No. of bitstreams: 1 Tese_Fabio_Araujo_Final.pdf: 715897 bytes, checksum: 17afb0d85c3fff397df747b1a0d56bf9 (MD5) / Made available in DSpace on 2010-03-15T12:06:11Z (GMT). No. of bitstreams: 1 Tese_Fabio_Araujo_Final.pdf: 715897 bytes, checksum: 17afb0d85c3fff397df747b1a0d56bf9 (MD5) Previous issue date: 2009-08-10 / This work proposes alternative ways to consistently estimate an abstract measure, crucial to the study of intertemporal decisions, which is at the core of most macroeconomics and financial studies: the Stochastic Discount Factor (SDF). Using the Pricing Equation in a panel-data framework, is constructed a novel consistent estimator of the SDF which relies on the fact that its logarithm is pervasive to all asset returns of the economy. The resulting estimator is very simple to compute, does not dependent on strong economic assumptions, is suitable for testing different preference specifications or investigating intertemporal substitution puzzles, and can be used as basis to construct an estimator for the risk-free rate. Alternative identification strategies are applied and a parallel between it and identifications strategies based on other frameworks is drawn. Adding structure to the initial setup, two environments were the asymptotic distribution can be derived are presented. Finally, methodologies proposed are applied US and Brazilian data. Preference specifications usually found in the macro literature, as well as a class of state dependent preferences, are tested. The results for the US economy are particularly interesting, by performing formal tests, we cannot reject standard preference specifications used in the literature and estimates of the relative risk-aversion coefficient are between 1 and 2, and statistically indistinguishable from the unity. Moreover, for the class of state dependent preferences and using US quarterly data from 1972:1 and 2001:4, we estimate a highly dynamic path for the relative risk-aversion (rra) coefficient, confined to the interval [1.15, 2.05], and also reject the hypothesis of a constant level. / Este trabalho propõe maneiras alternativas para a estimação consistente de uma medida abstrata, crucial para o estudo de decisões intertemporais, o qual é central a grande parte dos estudos em macroeconomia e finanças: o Fator Estocástico de Descontos (SDF, sigla em Inglês). Pelo emprego da Equação de Apreçamento constrói-se um inédito estimador consistente do SDF que depende do fato de que seu logaritmo é comum a todos os ativos de uma economia. O estimador resultante é muito simples de se calcular, não depende de fortes hipóteses econômicas, é adequado ao teste de diversas especificações de preferência e para a investigação de paradoxos de substituição intertemporal, e pode ser usado como base para a construção de um estimador para a taxa livre de risco. Alternativas para a estratégia de identificação são aplicadas e um paralelo entre elas e estratégias de outras metodologias é traçado. Adicionando estrutura ao ambiente inicial, são apresentadas duas situações onde a distribuição assintótica pode ser derivada. Finalmente, as metodologias propostas são aplicadas a conjuntos de dados dos EUA e do Brasil. Especificações de preferência usualmente empregadas na literatura, bem como uma classe de preferências dependentes do estado, são testadas. Os resultados são particularmente interessantes para a economia americana. A aplicação de teste formais não rejeita especificações de preferências comuns na literatura e estimativas para o coeficiente relativo de aversão ao risco se encontram entre 1 e 2, e são estatisticamente indistinguíveis de 1. Adicionalmente, para a classe de preferência s dependentes do estado, trajetórias altamente dinâmicas são estimadas para a tal coeficiente, as trajetórias são confinadas ao intervalo [1,15, 2,05] e se rejeita a hipótese de uma trajetória constante.

O dilema do prisioneiro (DP) é um dos principais jogos da teoria dos jogos. No dilema do prisioneiro discreto (DPD), dois prisioneiros têm as opções de cooperar ou desertar. Um jogador cooperador não delata seu comparsa, já um desertor delata. Se um cooperar e o outro desertar, o cooperador fica preso por cinco anos e o desertor fica livre. Se ambos cooperarem, ficam presos por um ano e, se ambos desertarem, ficam presos por três anos. Quando o DP é repetido, a cooperação pode emergir entre agentes egoístas. Realizamos um estudo analítico para o DPD, que produziu uma formulação da evolução do nível médio de cooperação e da tentação crítica (valor de tentação que causa mudança abrupta do nível de cooperação). No dilema do prisioneiro contínuo (DPC), cada jogador apresenta um nível de cooperação que define o grau de cooperação. Utilizamos o DPC para estudar o efeito da personalidade dos jogadores sobre a emergência da cooperação. Para isso, propusemos novas estratégias: uma baseada na personalidade dos jogadores e outras duas baseadas na comparação entre o ganho obtido e a aspiração do jogador. Todas as estratégias apresentavam algum mecanismo de cópia do estado do vizinho com maior ganho na vizinhança, mecanismo este, herdado da estratégia darwiniana. Os resultados mostraram que o DPC aumenta o nível médio de cooperação do sistema, quando comparado ao DPD. No entanto, as diferentes estratégias não aumentaram a cooperação comparado à cooperação obtida com a estratégia darwiniana. Então propusemos o uso do coeficiente de agrupamentos, coeficiente de Gini e entropias de Shannon, Tsallis e Kullback-Leibler para classificar os sistemas, em que os agentes jogam o DPD com a estratégia darwiniana, quanto ao nível de cooperação. Como analisamos valores de médias configuracionais, tais classificadores não foram eficientes ao classificar os sistemas. Isso é consequência da existência de distribuições de extremos nos resultados que compõem as médias. As distribuições de extremos suscitaram uma discussão acerca da definição do regime de cooperação no dilema do prisioneiro. Discutimos também as consequências de utilizar apenas valores médios nos resultados ignorando seus desvios e as distribuições. / Prisoner\'s dilemma (PD) is one of the main games of game theory. In discrete prisoner\'s dilemma (DPD), two prisoners have the options to cooperate or to defect. A cooperator player does not defect his accomplice, while a defector does. If one player cooperates and the other defects, the cooperator gets jailed for five years and the defector goes free. If both cooperate, they get jailed during one year and if both defect, they get jailed during three years. When this game is repeated, cooperation may emerge among selfish individuals. We perform an analytical study for the DPD, that produced a formulation for the evolution of the mean cooperation level and for the critical temptation values (temptation values that promote abrupt modifications in the cooperation level). In continuous prisoner\'s dilemma (CPD), each player has a level of cooperation that defines his/her degree of cooperation. We used the CPD to study the effect of the players\' personality on the emergence of cooperation. For this, we propose new strategies: one based on the players\' personality and two others based on the comparison between the player\'s obtained payoff and the desire one. All strategies present some mechanism that copies the state of the neighbor with the highest payoff in the neighborhood, mechanism inherited from the Darwinian strategy. The results showed that the CPD increases the average cooperation level of the system when compared to DPD. However, different strategies do not increased the cooperation compared to cooperation obtained with the Darwinian strategy. So, we propose the use of cluster coefficient, Gini coefficient and entropy of Shannon, Tsallis and Kullback-Leibler as classifiers to classify systems, in which the individuals play DPD with Darwinian strategy, by the cooperation level. As configurational averages were analyzed, such classifiers were not efficient in classifying the systems. This is due to the existence of distributions with extreme values of the results that compose the means. Distributions with extremes values emerged a discussion about the definition of the cooperation state in the prisoner\'s dilemma. We also discussed the consequences of using only average results in the analysis ignoring their deviations and distributions.