Comparing uncertainty aversion towards different sources
We propose simple behavioral definitions of comparative uncertainty aversion for a single agent towards different sources of uncertainty. Our definitions allow for the comparison of utility curvature for different sources if the agent’s choices satisfy subjective expected utility towards each source. We discuss how our definitions can be applied to investigate ambiguity aversion in Klibanoff et al.’s (Econometrica 73(6):1849–1892, 2005) smooth ambiguity model, to study the effects of learning and situational factors on uncertainty preferences, and to compare uncertainty preferences between different agents.
|Keywords||Smooth ambiguity model, Source-preferences, Subjective expected utility, Uncertainty|
|JEL||Criteria for Decision-Making under Risk and Uncertainty (jel D81)|
|Persistent URL||dx.doi.org/10.1007/s11238-016-9584-6, hdl.handle.net/1765/95069|
|Journal||Theory and Decision: an international journal for multidisciplinary advances in decision sciences|
Baillon, A, Liu, N. (Ning), & van Dolder, D. (2017). Comparing uncertainty aversion towards different sources. Theory and Decision: an international journal for multidisciplinary advances in decision sciences, 83(1). doi:10.1007/s11238-016-9584-6