Relative concave utility for risk and ambiguity

• Verfasst von: Baillon, Aurélien [VerfasserIn]
• Verfasst von: Driesen, Bram [VerfasserIn]
• Verfasst von: Wakker, Peter P. [VerfasserIn]
• Titel: Relative concave utility for risk and ambiguity
• Verf.angabe: Aurélien Baillon, Bram Driesen, Peter P. Wakker
• E-Jahr: 2012
• Jahr: 23 February 2012
• Umfang: 9 S.
• Fussnoten: Received 7 August 2010, available online 23 February 2012 ; Gesehen am 15.08.2018
• Titel Quelle: Enthalten in: Games and economic behavior
• Ort Quelle: Amsterdam [u.a.] : Elsevier, 1989
• Jahr Quelle: 2012
• Band/Heft Quelle: 75(2012), 2, Seite 481-489
• ISSN Quelle: 1090-2473
• DOI: doi:10.1016/j.geb.2012.01.006
• Datenträger: Online-Ressource
• Sprache: eng
• Sach-SW: Knightian uncertainty
• Sach-SW: More ambiguity averse
• Sach-SW: More risk averse
• Sach-SW: Nonexpected utility
• Sach-SW: Subjective probability
• K10plus-PPN: 1580085520

Abstract

This paper presents a general technique for comparing the concavity of different utility functions when probabilities need not be known. It generalizes: (a) Yaariʼs comparisons of risk aversion by not requiring identical beliefs; (b) Kreps and Porteusʼ information-timing preference by not requiring known probabilities; (c) Klibanoff, Marinacci, and Mukerjiʼs smooth ambiguity aversion by not using subjective probabilities (which are not directly observable) and by not committing to (violations of) dynamic decision principles; (d) comparative smooth ambiguity aversion by not requiring identical second-order subjective probabilities. Our technique completely isolates the empirical meaning of utility. It thus sheds new light on the descriptive appropriateness of utility to model risk and ambiguity attitudes.