A theory of subjective compound lotteries

• 成果类型: Article
• 署名作者: Ergin, Haluk; Gul, Faruk
• 署名单位: Princeton University; Washington University (WUSTL)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2008.08.003
• 发表日期: 2009
• 页码: 899-929
• 关键词: Compound lottery; Second-order probabilistic sophistication; Uncertainty aversion; Second-order risk aversion; Issue preference; Ellsberg paradox

摘要

We develop a Savage-type model of choice under uncertainty in which agents identify uncertain prospects with subjective compound lotteries. Our theory permits issue preference; that is, agents may not be indifferent among gambles that yield the same probability distribution if they depend on different issues. Hence, we establish subjective foundations for the Anscombe-Aumann framework and other models with two different types of probabilities. We define second-order risk as risk that resolves in the first stage of the compound lottery and show that uncertainty aversion implies aversion to second-order risk which implies issue preference and behavior consistent with the Ellsberg paradox. (C) 2009 Elsevier Inc. All rights reserved.