Hurwicz expected utility and subjective sources

• 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.2015.05.007
• 发表日期: 2015
• 页码: 465-488
• 关键词: Ambiguity; source preference; Allais paradox

摘要

In experiments, subjects are often not indifferent among all sources of uncertainty; between two prospects yielding the same distribution of monetary rewards, they may strictly prefer one over the other. We formulate a special case of ce-maxmin expected utility theory in a Savage setting, show that every decision maker perceives multiple subjective sources, and that source-utilities are rank dependent expected utility. A power series identifies each source, measures source-uncertainty, and determines the agent's source-specific risk attitude. Subjective sources relate Ellsberg-paradox behavior to source preference and to Allais-paradox behavior. (C) 2015 Elsevier Inc. All rights reserved.