Ambiguity Without a State Space
Many decisions involve both imprecise probabilities and intractable states of the world. Objective expected utility assumes unambiguous probabilities; subjective expected utility assumes a completely specified state space. This paper analyses a third domain of preference: sets of consequential lotte...
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| Veröffentlicht in: | The Review of economic studies 2008, Vol.75 (1), p.3-28 |
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| container_title | The Review of economic studies |
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| creator | AHN, DAVID S |
| description | Many decisions involve both imprecise probabilities and intractable states of the world. Objective expected utility assumes unambiguous probabilities; subjective expected utility assumes a completely specified state space. This paper analyses a third domain of preference: sets of consequential lotteries. Using this domain, we develop a theory of objective ambiguity without explicit reference to any state space. We characterize a representation that integrates a non-linear transformation of first-order expected utility with respect to a second-order measure. The concavity of the transformation and the weighting of the measure capture ambiguity aversion. We propose a definition for comparative ambiguity aversion. |
| doi_str_mv | 10.1111/j.1467-937X.2007.00473.x |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0034-6527 |
| ispartof | The Review of economic studies, 2008, Vol.75 (1), p.3-28 |
| issn | 0034-6527 1467-937X |
| language | eng |
| recordid | cdi_proquest_journals_204351896 |
| source | Business Source Complete; Jstor Complete Legacy; Oxford Academic Journals (OUP) |
| subjects | Ambiguity Axioms Betting D81 D83 Economic theory Economic utility Expected utility Lotteries Risk aversion Studies Utility functions Working papers |
| title | Ambiguity Without a State Space |
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