Increasing Uncertainty: A Definition

Simon Grant () and John Quiggan
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John Quiggan: U of Queensland
Authors registered in the RePEc Author Service: John Quiggin ()

Working Papers from Rice University, Department of Economics

Abstract: We present a definition of increasing uncertainty, in which an elementary increase in the uncertainty of any act corresponds to the addition of an `elementary bet' that increases consumption by a fixed amount in (relatively) `good' states and decreases consumption by a fixed (and possibly different) amount in (relatively) `bad' states. This definition naturally gives rise to a dual definition of comparative aversion to uncertainty. We characterize this definition for a popular class of generalized models of choice under uncertainty.

JEL-codes: C72 (search for similar items in EconPapers)
Date: 2004-05

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http://www.uq.edu.au/rsmg/WP/WPR04_4.pdf

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Journal Article: Increasing uncertainty: a definition (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:ecl:riceco:2002-11

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