Comparing uncertainty aversion towards different sources

Aurélien Baillon*, Ning Liu, Dennie van Dolder

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

We propose simple behavioral definitions of comparative uncertainty aversion for a single agent towards different sources of uncertainty. Our definitions allow for the comparison of utility curvature for different sources if the agent’s choices satisfy subjective expected utility towards each source. We discuss how our definitions can be applied to investigate ambiguity aversion in Klibanoff et al.’s (Econometrica 73(6):1849–1892, 2005) smooth ambiguity model, to study the effects of learning and situational factors on uncertainty preferences, and to compare uncertainty preferences between different agents.

Original languageEnglish
JournalTheory and Decision
Volume83
Issue number1
DOIs
Publication statusPublished - 2017

Keywords

  • Smooth ambiguity model
  • Source-preferences
  • Subjective expected utility
  • Uncertainty

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