Calibrated uncertainty

• 成果类型: Article
• 署名作者: Gul, Faruk; Pesendorfer, Wolfgang
• 署名单位: Princeton University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.105016
• 发表日期: 2020
• 关键词: Ambiguity; Separation of ambiguity perception and ambiguity attitude; Ambiguity measure

摘要

We define a binary relation (qualitative uncertainty assessment) that describes the shared likelihood assessments of decision makers with diverse ambiguity attitudes. Ambiguity renders this binary relation incomplete. Our axioms yield a representation according to which A is more likely than B if and only if a capacity, called uncertainty measure, assigns a higher value to A than to B and a higher value to B-complement than to A-complement. Agents combine this uncertainty perception with their uncertainty attitude to form a complete ranking of bets. We provide a representation theorem for this extended model, show that its parameters are uniquely identified and characterize a new measure of comparative ambiguity aversion. For general acts, we modify Machina and Schmeidler's (1992) sophistication axiom to allow for ambiguity and analyze three nested extensions: first, we axiomatize a minimal extension which reduces to expected utility when there is no ambiguity; the second and third extensions show how non-expected utility theories can be accommodated in our framework. (C) 2020 Elsevier Inc. All rights reserved.