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Comparing uncertainty aversion towards different sources

Aurélien Baillon (), Ning Liu () and Dennie van Dolder
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Aurélien Baillon: Erasmus University Rotterdam
Ning Liu: Bocconi University

Theory and Decision, 2017, vol. 83, issue 1, 1-18

Abstract: Abstract We propose simple behavioral definitions of comparative uncertainty aversion for a single agent towards different sources of uncertainty. Our definitions allow for the comparison of utility curvature for different sources if the agent’s choices satisfy subjective expected utility towards each source. We discuss how our definitions can be applied to investigate ambiguity aversion in Klibanoff et al.’s (Econometrica 73(6):1849–1892, 2005) smooth ambiguity model, to study the effects of learning and situational factors on uncertainty preferences, and to compare uncertainty preferences between different agents.

Keywords: Source-preferences; Uncertainty; Subjective expected utility; Smooth ambiguity model (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2017
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