A general theory of subjective mixtures

• 成果类型: Article
• 署名作者: Ghirardato, Paolo; Pennesi, Daniele
• 署名单位: University of Turin; Collegio Carlo Alberto; University of Turin
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.105056
• 发表日期: 2020
• 关键词: Subjective mixture space; ambiguity aversion; preference for randomization

摘要

We provide, and characterize behaviorally, a framework for constructing subjective mixtures which requires neither the Certainty Independence nor the Monotonicity axiom, replacing them with much weaker local properties. As we also show by means of examples, this framework provides a purely subjective foundation to most of the recent preference models which employ the Anscombe-Aumann setting. It also allows a subjective formulation of a preference for ambiguity hedging, and as a consequence allows the distinction of the notions of ambiguity aversion and preference for randomization. (C) 2020 Elsevier Inc. All rights reserved.