EXPECTED UNCERTAIN UTILITY THEORY

• 成果类型: Article
• 署名作者: Gul, Faruk; Pesendorfer, Wolfgang
• 署名单位: Princeton University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA9188
• 发表日期: 2014
• 页码: 1-39
• 关键词: Ambiguity; definition; RISK; probabilities; aversion

摘要

We introduce and analyze expected uncertain utility (EUU) theory. A prior and an interval utility characterize an EUU decision maker. The decision maker transforms each uncertain prospect into an interval-valued prospect that assigns an interval of prizes to each state. She then ranks prospects according to their expected interval utilities. We define uncertainty aversion for EUU, use the EUU model to address the Ellsberg Paradox and other ambiguity evidence, and relate EUU theory to existing models.