Article1999

A Definition of Uncertainty Aversion

498 citations0/0 files storedThe Review of Economic Studies

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Decision-Making and Behavioral Economics Economic and Environmental Valuation Experimental Behavioral Economics Studies

Abstract

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 models of preference (multiple-priors and Choquet expected utility) and is tractable. Tractability is established through use of a novel notion of differentiability for utility functions, called eventwise differentiability.

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References

1992A More Robust Definition of Subjective Probability 2018Notes On The Theory Of Choice

Cited by

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