Choice deferral and ambiguity aversion

• 成果类型: Article
• 署名作者: Kopylov, Igor
• 署名单位: University of California System; University of California Irvine; University of California System; University of California Irvine
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• 发表日期: 2009-06-01
• 页码: 199-225
• 关键词: Choice deferral; ambiguity aversion; epsilon contamination; multiple priors model; subjective probability; Ellsberg paradox

摘要

When confronted with uncertain prospects, people often exhibit both choice deferral and Ellsberg-type ambiguity aversion. This paper obtains a joint representation for these behavioral phenomena. The decision maker as portrayed by my model is willing to choose an uncertain prospect f over g rather than to defer this choice if and only if the expected utility of f is greater that or equal to the expected utility of g for every probability measure in a convex and closed set Delta. This set is interpreted as a collection of the decision maker's possible future beliefs. When choices cannot be deferred, the decision maker evaluates every uncertain prospect via an epsilon-mixture of the least favorable element in the set Delta and her current probabilistic belief p is an element of Delta. All components of my model are derived from observable preferences in an essentially unique way.