Random ambiguity
We introduce a model of random ambiguity aversion. Choice is stochastic due to unobserved shocks to both information and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and Schmeidler (1989). We characterize the model and show that the di...
Gespeichert in:
| Veröffentlicht in: | Theoretical economics 2021-05, Vol.16 (2), p.539-570 |
|---|---|
| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 570 |
|---|---|
| container_issue | 2 |
| container_start_page | 539 |
| container_title | Theoretical economics |
| container_volume | 16 |
| creator | Lu, Jay |
| description | We introduce a model of random ambiguity aversion. Choice is stochastic due to unobserved shocks to both information and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and Schmeidler (1989). We characterize the model and show that the distribution of ambiguity aversion can be uniquely identified using binary choices. A novel stochastic order on random sets is introduced that characterizes greater uncertainty aversion under stochastic choice. If the set of priors is the Aumann expectation of the random set, then choices satisfy dynamic consistency. This corresponds to an agent who knows the distribution of signals but is uncertain about how to interpret signal realizations. More broadly, the analysis of stochastic properties of random ambiguity attitudes provides a theoretical foundation for the study of models of random non-linear utility. |
| doi_str_mv | 10.3982/TE3810 |
| format | Article |
| fullrecord | <record><control><sourceid>gale_proqu</sourceid><recordid>TN_cdi_econis_econstor_253493</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><galeid>A737048829</galeid><sourcerecordid>A737048829</sourcerecordid><originalsourceid>FETCH-LOGICAL-c4731-cf293522a629833bbc0413dba13e290bc6862e357a02db8d0efb0af2bae60aa73</originalsourceid><addsrcrecordid>eNp1kF1LwzAUhoMoOKfiHxAGgnedJ59tL0eZThgIMq9DkiYjY21n0iH792ZU_LgwuTiH8OR9z3sQusYwpWVBHlZzWmA4QSPMOc9yLvDpr_4cXcS4AWDp4BG6eVVt3TUT1Wi_3vv-cInOnNpGe_VVx-jtcb6qFtny5em5mi0zw3KKM-NISTkhSpCyoFRrAwzTWitMLSlBG1EIYinPFZBaFzVYp0E5opUVoFROx-hu0N2F7n1vYy833T60yVISTgQTKQNO1HSg1mprpW9d1wdl0q1t403XWufT-yynObCiSCON0f3wwYQuxmCd3AXfqHCQGORxPXJYTwInA2iTjI8_WH5MxCCF-jb_SCaHf4TkajGvCMAw7e0fzWOJfRdSIspKSj8BhHB1zw</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2526468101</pqid></control><display><type>article</type><title>Random ambiguity</title><source>Wiley-Blackwell Journals</source><source>Wiley Open Access</source><source>EZB Electronic Journals Library</source><creator>Lu, Jay</creator><creatorcontrib>Lu, Jay</creatorcontrib><description>We introduce a model of random ambiguity aversion. Choice is stochastic due to unobserved shocks to both information and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and Schmeidler (1989). We characterize the model and show that the distribution of ambiguity aversion can be uniquely identified using binary choices. A novel stochastic order on random sets is introduced that characterizes greater uncertainty aversion under stochastic choice. If the set of priors is the Aumann expectation of the random set, then choices satisfy dynamic consistency. This corresponds to an agent who knows the distribution of signals but is uncertain about how to interpret signal realizations. More broadly, the analysis of stochastic properties of random ambiguity attitudes provides a theoretical foundation for the study of models of random non-linear utility.</description><identifier>ISSN: 1555-7561</identifier><identifier>ISSN: 1933-6837</identifier><identifier>EISSN: 1555-7561</identifier><identifier>DOI: 10.3982/TE3810</identifier><language>eng</language><publisher>New Haven, CT: The Econometric Society</publisher><subject>Ambiguity ; Beliefs ; D81 ; D83 ; Economic theory ; Expected utility ; Lotteries ; random utility ; Stochastic choice ; Uncertainty ; updating</subject><ispartof>Theoretical economics, 2021-05, Vol.16 (2), p.539-570</ispartof><rights>Copyright © 2021 The Author.</rights><rights>COPYRIGHT 2021 John Wiley & Sons, Inc.</rights><rights>2021. This work is published under http://creativecommons.org/licenses/by-nc/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c4731-cf293522a629833bbc0413dba13e290bc6862e357a02db8d0efb0af2bae60aa73</citedby><cites>FETCH-LOGICAL-c4731-cf293522a629833bbc0413dba13e290bc6862e357a02db8d0efb0af2bae60aa73</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.3982%2FTE3810$$EPDF$$P50$$Gwiley$$Hfree_for_read</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.3982%2FTE3810$$EHTML$$P50$$Gwiley$$Hfree_for_read</linktohtml><link.rule.ids>314,780,784,1417,11562,27924,27925,45574,45575,46052,46476</link.rule.ids></links><search><creatorcontrib>Lu, Jay</creatorcontrib><title>Random ambiguity</title><title>Theoretical economics</title><description>We introduce a model of random ambiguity aversion. Choice is stochastic due to unobserved shocks to both information and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and Schmeidler (1989). We characterize the model and show that the distribution of ambiguity aversion can be uniquely identified using binary choices. A novel stochastic order on random sets is introduced that characterizes greater uncertainty aversion under stochastic choice. If the set of priors is the Aumann expectation of the random set, then choices satisfy dynamic consistency. This corresponds to an agent who knows the distribution of signals but is uncertain about how to interpret signal realizations. More broadly, the analysis of stochastic properties of random ambiguity attitudes provides a theoretical foundation for the study of models of random non-linear utility.</description><subject>Ambiguity</subject><subject>Beliefs</subject><subject>D81</subject><subject>D83</subject><subject>Economic theory</subject><subject>Expected utility</subject><subject>Lotteries</subject><subject>random utility</subject><subject>Stochastic choice</subject><subject>Uncertainty</subject><subject>updating</subject><issn>1555-7561</issn><issn>1933-6837</issn><issn>1555-7561</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2021</creationdate><recordtype>article</recordtype><sourceid>24P</sourceid><sourceid>WIN</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>AZQEC</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNp1kF1LwzAUhoMoOKfiHxAGgnedJ59tL0eZThgIMq9DkiYjY21n0iH792ZU_LgwuTiH8OR9z3sQusYwpWVBHlZzWmA4QSPMOc9yLvDpr_4cXcS4AWDp4BG6eVVt3TUT1Wi_3vv-cInOnNpGe_VVx-jtcb6qFtny5em5mi0zw3KKM-NISTkhSpCyoFRrAwzTWitMLSlBG1EIYinPFZBaFzVYp0E5opUVoFROx-hu0N2F7n1vYy833T60yVISTgQTKQNO1HSg1mprpW9d1wdl0q1t403XWufT-yynObCiSCON0f3wwYQuxmCd3AXfqHCQGORxPXJYTwInA2iTjI8_WH5MxCCF-jb_SCaHf4TkajGvCMAw7e0fzWOJfRdSIspKSj8BhHB1zw</recordid><startdate>202105</startdate><enddate>202105</enddate><creator>Lu, Jay</creator><general>The Econometric Society</general><general>John Wiley & Sons, Inc</general><scope>OT2</scope><scope>24P</scope><scope>WIN</scope><scope>OQ6</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8BJ</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FQK</scope><scope>FRNLG</scope><scope>F~G</scope><scope>JBE</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>M0C</scope><scope>PIMPY</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope><scope>PYYUZ</scope><scope>Q9U</scope></search><sort><creationdate>202105</creationdate><title>Random ambiguity</title><author>Lu, Jay</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4731-cf293522a629833bbc0413dba13e290bc6862e357a02db8d0efb0af2bae60aa73</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2021</creationdate><topic>Ambiguity</topic><topic>Beliefs</topic><topic>D81</topic><topic>D83</topic><topic>Economic theory</topic><topic>Expected utility</topic><topic>Lotteries</topic><topic>random utility</topic><topic>Stochastic choice</topic><topic>Uncertainty</topic><topic>updating</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Lu, Jay</creatorcontrib><collection>EconStor</collection><collection>Wiley Open Access</collection><collection>Wiley Free Archive</collection><collection>ECONIS</collection><collection>CrossRef</collection><collection>ProQuest Central (Corporate)</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni)</collection><collection>ProQuest Central</collection><collection>ProQuest Central Essentials</collection><collection>AUTh Library subscriptions: ProQuest Central</collection><collection>Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central</collection><collection>International Bibliography of the Social Sciences</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Global (ProQuest)</collection><collection>Publicly Available Content Database</collection><collection>One Business (ProQuest)</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><collection>ABI/INFORM Collection China</collection><collection>ProQuest Central Basic</collection><jtitle>Theoretical economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Lu, Jay</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Random ambiguity</atitle><jtitle>Theoretical economics</jtitle><date>2021-05</date><risdate>2021</risdate><volume>16</volume><issue>2</issue><spage>539</spage><epage>570</epage><pages>539-570</pages><issn>1555-7561</issn><issn>1933-6837</issn><eissn>1555-7561</eissn><abstract>We introduce a model of random ambiguity aversion. Choice is stochastic due to unobserved shocks to both information and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and Schmeidler (1989). We characterize the model and show that the distribution of ambiguity aversion can be uniquely identified using binary choices. A novel stochastic order on random sets is introduced that characterizes greater uncertainty aversion under stochastic choice. If the set of priors is the Aumann expectation of the random set, then choices satisfy dynamic consistency. This corresponds to an agent who knows the distribution of signals but is uncertain about how to interpret signal realizations. More broadly, the analysis of stochastic properties of random ambiguity attitudes provides a theoretical foundation for the study of models of random non-linear utility.</abstract><cop>New Haven, CT</cop><pub>The Econometric Society</pub><doi>10.3982/TE3810</doi><tpages>32</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 1555-7561 |
| ispartof | Theoretical economics, 2021-05, Vol.16 (2), p.539-570 |
| issn | 1555-7561 1933-6837 1555-7561 |
| language | eng |
| recordid | cdi_econis_econstor_253493 |
| source | Wiley-Blackwell Journals; Wiley Open Access; EZB Electronic Journals Library |
| subjects | Ambiguity Beliefs D81 D83 Economic theory Expected utility Lotteries random utility Stochastic choice Uncertainty updating |
| title | Random ambiguity |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-07T15%3A52%3A15IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-gale_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Random%20ambiguity&rft.jtitle=Theoretical%20economics&rft.au=Lu,%20Jay&rft.date=2021-05&rft.volume=16&rft.issue=2&rft.spage=539&rft.epage=570&rft.pages=539-570&rft.issn=1555-7561&rft.eissn=1555-7561&rft_id=info:doi/10.3982/TE3810&rft_dat=%3Cgale_proqu%3EA737048829%3C/gale_proqu%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=2526468101&rft_id=info:pmid/&rft_galeid=A737048829&rfr_iscdi=true |