Defesa de Tese.

Abstract Reference point preferences such as those in Prospect Theory have been studied by several different authors. In this thesis we focus on agents whose reference point is endogenous and given by expectations of near future outcomes. We consider two cases: one in which the agent picks a fixed point, or a stochastic lottery. We manage to decompose the value function into two separate functions: one that depends on the dispersion, named coefficient of variation, and one that depends on the asymmetry called skewness coefficient. These new concepts are consistent with the diminishing effect and generalize classical measures of dispersion and skewness. In this work we develop these concepts in depth and analyze their relationship with their classical counterparts, its relationship with models such as 3M CAPM, and compare them with experimental evidence in the field. We use that concept to show how, an economy with mixed agents consisting of agents with an endogenous and risk averse point of reference is defined. Additionally, we analyze conditions for existence of Arrow-Debreu equilibrium in economies with reference dependent decision makers. We show that equilibrium exists when the aggregate risk that exists in the economy is high enough similar to the case of exogenous reference dependent prospect theory agents. We also show that if the coefficient of loss aversion is high and the aggregate risk is considerably small, equilibrium exists. The case with low coefficient of loss aversion is also analyzed, and we show the importance of the skewness coefficient in this case. .