Ambiguity made precise: A comparative foundation

• 成果类型: Article
• 署名作者: Ghirardato, P; Marinacci, M
• 署名单位: California Institute of Technology; University of Turin
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1006/jeth.2001.2815
• 发表日期: 2002
• 页码: 251-289
• 关键词: Ambiguity aversion; cardinal risk aversion; Choquet expected utility; maxmin expected utility; biseparable preferences

摘要

The theory of subjective expected utility has been recently extended to allow ambiguity to matter for choice. We propose a notion of absolute ambiguity aversion by building on a notion of comparative ambiguity aversion. We characterize it for a preference model which encompasses some of the most popular models in the literature. We next build on these ideas to provide a definition of unambiguous act and event and show the characterization of the latter. As an illustration, we consider the classical Ellsberg 3-color urn problem and find that the notions developed in the paper provide intuitive answers. (C) 2001 Elsevier Science.