Randomization and Ambiguity Aversion

• 成果类型: Article
• 署名作者: Ke Shaowei; Zhang Qi
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA15182
• 发表日期: 2020
• 页码: 1159-1195
• 关键词: expected utility; stochastic choice; mechanism design; RISK; preferences; Robustness; maxmin; uncertainty; definition; SEPARATION

摘要

We propose a model of preferences in which the effect of randomization on ambiguity depends on how the unknown probability law is determined. We adopt the framework of Anscombe and Aumann (1963) and relax the axioms. In the resulting representation of the individual's preference, the individual has a collection of sets of priors M. She believes that before she moves, nature has chosen an unknown scenario (a set of priors) from M, and from that scenario, nature will choose a prior after she moves. The representation illustrates how randomization may partially eliminate the effect of ambiguity.