A Non-Bayesian Theory of State-Dependent Utility

• 成果类型: Article
• 署名作者: Hill, Brian
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Centre National de la Recherche Scientifique (CNRS)
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA15916
• 发表日期: 2019
• 页码: 1341-1366
• 关键词: Subjective expected utility; risk-aversion; ambiguity; probability; preferences; definition; maxmin

摘要

Many decision situations involve two or more of the following divergences from subjective expected utility: imprecision of beliefs (or ambiguity), imprecision of tastes (or multi-utility), and state dependence of utility. This paper proposes and characterizes a model of uncertainty averse preferences that can simultaneously incorporate all three phenomena. The representation supports a principled separation of (imprecise) beliefs and (potentially state-dependent, imprecise) tastes. Moreover, the representation permits comparative statics separating the roles of beliefs and tastes, and is modular: it easily delivers special cases involving various combinations of the phenomena, as well as state-dependent multi-utility generalizations covering popular ambiguity models.