Relative Concave Utility for Risk and Ambiguity

Autor:	Bram Driesen, Peter P. Wakker, Aurélien Baillon
Přispěvatelé:	Applied Economics, Econometrics
Jazyk:	angličtina
Rok vydání:	2012
Předmět:	Economics and Econometrics Ellsberg paradox Financial economics media_common.quotation_subject Ambiguity aversion Risk aversion (psychology) Subjective expected utility Ambiguity Isoelastic utility Econometrics Economics Preference (economics) Finance Knightian uncertainty media_common
Zdroj:	Games and Economic Behavior, 75(2), 481-489. Academic Press
ISSN:	0899-8256
Popis:	This paper presents a general technique for comparing the concavity of different utility functions when probabilities need not be known. It generalizes: (a) Yaariʼs comparisons of risk aversion by not requiring identical beliefs; (b) Kreps and Porteusʼ information-timing preference by not requiring known probabilities; (c) Klibanoff, Marinacci, and Mukerjiʼs smooth ambiguity aversion by not using subjective probabilities (which are not directly observable) and by not committing to (violations of) dynamic decision principles; (d) comparative smooth ambiguity aversion by not requiring identical second-order subjective probabilities. Our technique completely isolates the empirical meaning of utility. It thus sheds new light on the descriptive appropriateness of utility to model risk and ambiguity attitudes.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::90d5251e15e2a90584544975ee379c1f https://hdl.handle.net/1765/37781 Zobrazit plný text záznamu Full Text from ScienceDirect