Comparing uncertainty aversion towards different sources

Aurélien Baillon, Ning Liu, Dennie van Dolder

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.

LanguageEnglish
JournalTheory and Decision
Volume83
Issue number1
DOIs
StatePublished - 2017

Fingerprint

Uncertainty
uncertainty
Learning
Uncertainty aversion
Aversion
learning
Preference uncertainty
Situational factors
Curvature
Subjective expected utility
Ambiguity aversion

Keywords

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

Cite this

Baillon, Aurélien ; Liu, Ning ; van Dolder, Dennie. / Comparing uncertainty aversion towards different sources. In: Theory and Decision. 2017 ; Vol. 83, No. 1.
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Comparing uncertainty aversion towards different sources. / Baillon, Aurélien; Liu, Ning; van Dolder, Dennie.

In: Theory and Decision, Vol. 83, No. 1, 2017.

Research output: Contribution to JournalArticleAcademicpeer-review

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