Preferences for Flexibility and Randomization under Uncertainty

• 成果类型: Article
• 署名作者: Saito, Kota
• 署名单位: California Institute of Technology
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20131030
• 发表日期: 2015
• 页码: 1246-1271
• 关键词: expected utility; savage axioms; ambiguity; RISK; REPRESENTATION

摘要

An uncertainty-averse agent prefers betting on an event whose probability is known, to betting on an event whose probability is unknown. Such an agent may randomize his choices to eliminate the effects of uncertainty. For what sort of preferences does a randomization eliminate the effects of uncertainty? To answer this question, we investigate an agent's preferences over sets of acts. We axiomatize a utility function, through which we can identify the agent's subjective belief that a randomization eliminates the effects of uncertainty.