The Rich Domain of Uncertainty: Source Functions and Their Experimental Implementation

• 成果类型: Article
• 署名作者: Abdellaoui, Mohammed; Baillon, Aurelien; Placido, Laetitia; Wakker, Peter P.
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Centre National de la Recherche Scientifique (CNRS); Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.101.2.695
• 发表日期: 2011
• 页码: 695-723
• 关键词: EXPECTED-UTILITY; ambiguity aversion; decision weights; RISK; probability; CHOICE; REPRESENTATION; models; preference; attitudes

摘要

We often deal with uncertain events for which no probabilities are known. Several normative models have been proposed. Descriptive studies have usually been qualitative, or they estimated ambiguity aversion through one single number. This paper introduces the source method, a tractable method for quantitatively analyzing uncertainty empirically. The theoretical key is the distinction between different sources of uncertainty, within which subjective (choice-based) probabilities can still be defined. Source functions convert those subjective probabilities into willingness to bet. We apply our method in an experiment, where we do not commit to particular ambiguity attitudes but let the data speak. (JEL D81)