Ordering ambiguous acts

• 成果类型: Article
• 署名作者: Jewitt, Ian; Mukerji, Sujoy
• 署名单位: University of Oxford; University of London; Queen Mary University London
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2017.07.001
• 发表日期: 2017
• 页码: 213-267
• 关键词: Athbiguity; Knightian uncertainty; ambiguity aversion; comparative statics; Single -crossing; More ambiguous

摘要

We investigate what it means for one act to be more ambiguous than another. The question is evidently analogous to asking what makes one prospect riskier than another, but beliefs are neither objective nor representable by a unique probability. Our starting point is an abstract class of preferences constructed to be (strictly) partially ordered by a more ambiguity averse relation. First, we define two notions of more ambiguous with respect to such a class. A more ambiguous (I) act makes an ambiguity averse decision maker (DM) worse off but does not affect the welfare of an ambiguity neutral DM. A more ambiguous (II) act adversely affects a more ambiguity averse DM more, as measured by the compensation they require to switch acts. Unlike more ambiguous (I), more ambiguous (II) does not require indifference of ambiguity neutral elements to the acts being compared. Second, we implement the abstract definitions to characterize more ambiguous (I) and (II) for two explicit preference families: alpha-maxmin expected utility and smooth ambiguity. Thirdly, we give applications to the comparative statics of more ambiguous in a standard portfolio problem and a consumption-saving problem. Crown Copyright (C)2017 Published by Elsevier Inc. All rights reserved.