Skewed noise

• 成果类型: Article
• 署名作者: Dillenberger, David; Segal, Uzi
• 署名单位: University of Pennsylvania; Boston College; University of Warwick
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2017.02.005
• 发表日期: 2017
• 页码: 344-364
• 关键词: Skewed distributions; Compound lotteries; Recursive non-expected utility; Ambiguity aversion and seeking

摘要

We study the attitude of decision makers to skewed noise. For a binary lottery that yields the better outcome with probability p, we identify noise around p with a compound lottery that induces a distribution over the exact value of the probability and has an average value p. We propose and characterize a new notion of skewed distributions, and use a recursive non-expected utility to provide conditions under which rejection of symmetric noise implies rejection of negatively skewed noise, yet does not preclude acceptance of some positively skewed noise, in agreement with recent experimental evidence. In the context of decision making under uncertainty, our model permits the co-existence of aversion to symmetric ambiguity (as in Ellsberg's paradox) and ambiguity seeking for low likelihood good events. (C) 2017 Elsevier Inc. All rights reserved.