Probabilistic sophistication and variational preferences

• 成果类型: Article
• 署名作者: Strzalecki, Tomasz
• 署名单位: Harvard University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.06.010
• 发表日期: 2011
• 页码: 2117-2125
• 关键词: Ambiguity aversion; Probabilistic sophistication; expected utility; Variational preferences

摘要

This paper shows that in the class of variational preferences the notion of probabilistic sophistication is equivalent to expected utility as long as there exists at least one event such that the independence axiom holds for bets on that event. This extends the result of Marinacci (2002) [13] and provides a novel interpretation of his result. (C) 2011 Elsevier Inc. All rights reserved.