Uncertainty Aversion, Multi Utility Representations and State Independence of Utility

Brian Hill ()

No 1079, HEC Research Papers Series from HEC Paris

Abstract: This paper proposes and characterises a model of uncertainty averse preferences that can simultaneously accommodate three divergences from subjective expected utility: imprecision of beliefs (or ambiguity), imprecision of tastes (or multi utility), and state dependence of utility. Moreover, it characterises, in this context, a notion of state independence of utility borrowed from the literature on incomplete preferences. This notion is then shown to be basically inconsistent with the standard state-independence axiom, monotonicity, whenever tastes are imprecise. A new notion of state independence in the context of imprecise tastes, which is characterised by monotonicity, is proposed.

Keywords: State independence of utility; imprecise tastes; uncertainty aversion; multi utility; multiple priors; state-dependent utility (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2015-01-22
New Economics Papers: this item is included in nep-mic and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:ebg:heccah:1079

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