Arbeitspapier
Characterizing Uncertainty Aversion Through Preference for Mixtures
Uncertainty aversion is often modelled as (strict) quasi-concavity of preferences over uncertain acts. A theory of uncertainty aversion may be characterized by the pairs of acts for which strict preference for a mixture between them is permitted. This paper provides such a characterization for two leading representations of uncertainty averse preferences; those of Schmeidler [20] (Choquet expected utility) and of Gilboa and Schmeidler [13] (maxmin expected utility with a non-unique prior). This characterization clarifies the relation between the two theories.
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion Paper ; No. 1159
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Kilbanoff, Peter
- Event
-
Veröffentlichung
- (who)
-
Northwestern University, Kellogg School of Management, Center for Mathematical Studies in Economics and Management Science
- (where)
-
Evanston, IL
- (when)
-
1996
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kilbanoff, Peter
- Northwestern University, Kellogg School of Management, Center for Mathematical Studies in Economics and Management Science
Time of origin
- 1996
Other Objects (12)
Risk aversion under preference uncertainty
Risk Aversion under Preference Uncertainty
Risk aversion under preference uncertainty
Uncertainty aversion and preference for randomization
Preference for randomization: Ambiguity aversion and inequality aversion
Preference for randomization and ambiguity aversion
Estimating Aversion to Uncertainty
Characterizing very high uncertainty episodes
Stochastic Independence and Uncertainty Aversion
Pricing sin stocks : ethical preference vs. risk aversion
Pricing sin stocks: Ethical preference vs. risk aversion
Pricing sin stocks: Ethical preference vs. risk aversion
Risk aversion under preference uncertainty
Risk Aversion under Preference Uncertainty
Risk aversion under preference uncertainty
Uncertainty aversion and preference for randomization
Preference for randomization: Ambiguity aversion and inequality aversion
Preference for randomization and ambiguity aversion
Estimating Aversion to Uncertainty
Characterizing very high uncertainty episodes
Stochastic Independence and Uncertainty Aversion
Pricing sin stocks : ethical preference vs. risk aversion
Pricing sin stocks: Ethical preference vs. risk aversion
Pricing sin stocks: Ethical preference vs. risk aversion
Risk aversion under preference uncertainty
Risk Aversion under Preference Uncertainty
Risk aversion under preference uncertainty
Uncertainty aversion and preference for randomization
Preference for randomization: Ambiguity aversion and inequality aversion
Preference for randomization and ambiguity aversion
Estimating Aversion to Uncertainty
Characterizing very high uncertainty episodes
Stochastic Independence and Uncertainty Aversion
Pricing sin stocks : ethical preference vs. risk aversion
Pricing sin stocks: Ethical preference vs. risk aversion