Bayes and Hurwicz without Bernoulli

• 成果类型: Article
• 署名作者: Grant, Simon; Rich, Patricia; Stecher, Jack
• 署名单位: Australian National University; University of Hamburg; University of Bayreuth; University of Alberta
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.105027
• 发表日期: 2022
• 关键词: uncertainty; RISK; ambiguity; Certainty equivalent

摘要

We provide a theory of decision under ambiguity that does not require expected utility maximization under risk. Instead, we require only that a decision maker be probabilistically sophisticated in evaluating a subcollection of acts. Three components determine the decision maker's ranking of acts: a prior, a map from ambiguous acts to equivalent risky lotteries, and a generalized notion of certainty equivalent. The prior is Bayesian, defined over the inverse image of acts for which the decision maker is probabilistically sophisticated. Ambiguity preferences are similar to Hurwicz, depending on an act's best- and worst-case interpretations. The generalized certainty equivalent may, but need not, come from a Bernoulli utility. The ability to combine appealing theories of risk and ambiguity at will has been sought after but missing from the literature, and our decomposition provides a promising way forward. (C) 2020 Elsevier Inc. All rights reserved.