Ambiguous Correlation

• 成果类型: Article
• 署名作者: Epstein, Larry G.; Halevy, Yoram
• 署名单位: Boston University; University of Toronto
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdy008
• 发表日期: 2019
• 页码: 668-693
• 关键词: Uncertainty aversion; expected utility; risk-aversion; REPRESENTATION; CHOICE; MODEL

摘要

Many decisions are made in environments where outcomes are determined by the realization of multiple random events. A decision maker may be uncertain how these events are related. We identify and experimentally substantiate behaviour that intuitively reflects a lack of confidence in their joint distribution. Our findings suggest a dimension of ambiguity which is different from that in the classical distinction between risk and Knightian uncertainty.