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.

Additional Metadata
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
Citation
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