Small worlds: Modeling attitudes toward sources of uncertainty

• 成果类型: Article
• 署名作者: Chew, Soo Hong; Sagi, Jacob S.
• 署名单位: Vanderbilt University; Hong Kong University of Science & Technology
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2007.07.004
• 发表日期: 2008
• 页码: 1-24
• 关键词: uncertainty; RISK; ambiguity; decision theory; non-expected utility; utility representation; Probabilistic sophistication; Ellsberg paradox

摘要

We introduce the concept of a conditional small world event domain-an extension of Savage's [The Foundations of Statistics, Wiley, New York, 1954] notion of a 'small world'-as a self-contained collection of comparable events. Under weak behavioral conditions we demonstrate probabilistic sophistication in any small world event domain without relying on monotonicity or continuity. Probabilistic sophistication within, though not necessarily across, small worlds provides a foundation for modeling a decision maker that has source-dependent risk attitudes. This also helps formalize the idea of source preference and suggests an interpretation of ambiguity aversion, often associated with Ellsberg-type behavior, in terms of comparative risk aversion across small worlds. (C) 2007 Elsevier Inc. All rights reserved.