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Relative concave utility for risk and ambiguity
- Source :
-
Games & Economic Behavior . Jul2012, Vol. 75 Issue 2, p481-489. 9p. - Publication Year :
- 2012
-
Abstract
- 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. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 08998256
- Volume :
- 75
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- Games & Economic Behavior
- Publication Type :
- Academic Journal
- Accession number :
- 75165361
- Full Text :
- https://doi.org/10.1016/j.geb.2012.01.006