MEASURING AMBIGUITY ATTITUDES FOR ALL (NATURAL) EVENTS

• 成果类型: Article
• 署名作者: Baillon, Aurelien; Huang, Zhenxing; Selim, Asli; Wakker, Peter P.
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Shanghai University of Finance & Economics
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA14370
• 发表日期: 2018
• 页码: 1839-1858
• 关键词: expected utility; prospect-theory; Time pressure; decision-making; Uncertainty aversion; risk-aversion; probability; preferences; CHOICE; belief

摘要

Measurements of ambiguity attitudes have so far focused on artificial events, where (subjective) beliefs can be derived from symmetry of events and can be then controlled for. For natural events as relevant in applications, such a symmetry and corresponding control are usually absent, precluding traditional measurement methods. This paper introduces two indexes of ambiguity attitudes, one for aversion and the other for insensitivity/perception, for which we can control for likelihood beliefs even if these are unknown. Hence, we can now measure ambiguity attitudes for natural events. Our indexes are valid under many ambiguity theories, do not require expected utility for risk, and are easy to elicit in practice. We use our indexes to investigate time pressure under ambiguity. People do not become more ambiguity averse under time pressure but become more insensitive (perceive more ambiguity). These findings are plausible and, hence, support the validity of our indexes.