Random ambiguity

• 成果类型: Article
• 署名作者: Lu, Jay
• 署名单位: University of California System; University of California Los Angeles
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE3810
• 发表日期: 2021-05-01
• 页码: 539-570
• 关键词: Stochastic choice; ambiguity; random utility; updating; D81; D83

摘要

We introduce a model of random ambiguity aversion. Choice is stochastic due to unobserved shocks to both information and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and Schmeidler (1989). We characterize the model and show that the distribution of ambiguity aversion can be uniquely identified from binary choices. A novel stochastic order on random sets is introduced that characterizes greater uncertainty aversion under stochastic choice. If the set of priors is the Aumann expectation of the random set, then choices satisfy dynamic consistency. This corresponds to an agent who knows the distribution of signals but is uncertain about how to interpret signal realizations. More broadly, the analysis of stochastic properties of random ambiguity attitudes provides a theoretical foundation for the study of other random nonlinear utility models.