A Bayesian approach to uncertainty aversion

• 成果类型: Article
• 署名作者: Halevy, Y; Feltkamp, V
• 署名单位: University of British Columbia; Maastricht University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1111/j.1467-937X.2005.00339.x
• 发表日期: 2005
• 页码: 449-466
• 关键词: expected utility; RISK; definition; ambiguity; probability; fallacy

摘要

The Ellsberg paradox demonstrates that people's beliefs over uncertain events might not be representable by subjective probability. We show that if a risk averse decision maker, who has a well defined Bayesian prior, perceives an Ellsberg type decision problem as possibly composed of a bundle of several positively correlated problems, she will be uncertainty averse. We generalize this argument and derive sufficient conditions for uncertainty aversion.