Dual-Self Representations of Ambiguity Preferences

• 成果类型: Article
• 署名作者: Chandrasekher, Madhav; Frick, Mira; Iijima, Ryota; Le Yaouanq, Yves
• 署名单位: Yale University; Institut Polytechnique de Paris; Ecole Polytechnique; ENSAE Paris; University of Munich
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA17502
• 发表日期: 2022
• 页码: 1029-1061
• 关键词: expected utility; Uncertainty aversion; risk-aversion; attitudes; models; diversification; SEPARATION; CHOICE

摘要

We propose a class of multiple-prior representations of preferences under ambiguity, where the belief the decision-maker (DM) uses to evaluate an uncertain prospect is the outcome of a game played by two conflicting forces, Pessimism and Optimism. The model does not restrict the sign of the DM's ambiguity attitude, and we show that it provides a unified framework through which to characterize different degrees of ambiguity aversion, and to represent the co-existence of negative and positive ambiguity attitudes within individuals as documented in experiments. We prove that our baseline representation, dual-self expected utility (DSEU), yields a novel representation of the class of invariant biseparable preferences (Ghirardato, Maccheroni, and Marinacci (2004)), which drops uncertainty aversion from maxmin expected utility (Gilboa and Schmeidler (1989)), while extensions of DSEU allow for more general departures from independence. We also provide foundations for a generalization of prior-by-prior belief updating to our model.