Mean-dispersion preferences and constant absolute uncertainty aversion

• 成果类型: Article
• 署名作者: Grant, Simon; Polak, Ben
• 署名单位: University of Queensland; Yale University; Yale University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2012.11.003
• 发表日期: 2013
• 页码: 1361-1398
• 关键词: Ambiguity aversion; Translation invariance; dispersion; uncertainty; Probabilistic sophistication

摘要

We axiomatize, in an Anscombe-Aumann framework, the class of preferences that admit a representation of the form V (f) = mu - p(d), where mu, is the mean utility of the act f with respect to a given probability, d is the vector of state-by-state utility deviations from the mean, and p(d) is a measure of (aversion to) dispersion that corresponds to an uncertainty premium. The key feature of these mean-dispersion preferences is that they exhibit constant absolute uncertainty aversion. This class includes many well-known models of preferences from the literature on ambiguity. We show what properties of the dispersion function p(.) correspond to known models, to probabilistic sophistication, and to some new notions of uncertainty aversion. (C) 2013 Elsevier Inc. All rights reserved.