A Definition of Uncertainty Aversion

A definition of uncertainty or ambiguity aversion is proposed. It is argued that the definition is well-suited to modelling within the Savage (as opposed to Anscombe and Aumann) domain of acts. The defined property of uncertainty aversion has intuitive empirical content, behaves well in specific mod...

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Veröffentlicht in:	The Review of economic studies 1999-07, Vol.66 (3), p.579-608
1. Verfasser:	Epstein, Larry G.
Format:	Artikel
Sprache:	eng
Schlagworte:	Algebra Ambiguity Betting Convexity Economic theory Economic uncertainty Expected utility Lotteries Risk aversion Utility functions
Online-Zugang:	Volltext
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