This paper presents a general technique for comparing the concavity of different utility functions when probabilities need not be known. It generalizes: (a) Yaari's comparisons of risk aversion by not requiring identical beliefs; (b) Kreps and Porteus' information-timing preference by not requiring known probabilities; (c) Klibanoff, Marinacci, and Mukerji's smooth ambiguity aversion by not using subjective probabilities (which are not directly observable) and by not committing to (violations of) dynamic decision principles; (d) comparative smooth ambiguity aversion by not requiring identical second-order subjective probabilities. Our technique completely isolates the empirical meaning of utility. It thus sheds new light on the descriptive appropriateness of utility to model risk and ambiguity attitudes.

Knightian uncertainty, More ambiguity averse, More risk averse, Nonexpected utility, Subjective probability
Mathematical Methods (jel C02), Behavioral Economics; Underlying Principles (jel D03), Criteria for Decision-Making under Risk and Uncertainty (jel D81),
Games and Economic Behavior
Erasmus Research Institute of Management

Baillon, A, Driesen, B, & Wakker, P.P. (2012). Relative concave utility for risk and ambiguity. Games and Economic Behavior, 75(2), 481–489. doi:10.1016/j.geb.2012.01.006