A Bayesian Approach to Uncertainty Aversion

Yoram Halevy and Vincent Feltkamp

The Review of Economic Studies, 2005, vol. 72, issue 2, 449-466

Abstract: The Ellsberg paradox demonstrates that people's beliefs over uncertain events might not be representable by subjective probability. We show that if a risk averse decision maker, who has a well defined Bayesian prior, perceives an Ellsberg type decision problem as possibly composed of a bundle of several positively correlated problems, she will be uncertainty averse. We generalize this argument and derive sufficient conditions for uncertainty aversion. Copyright 2005, Wiley-Blackwell.

Date: 2005
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Related works:
Working Paper: A Bayesian Approach to Uncertainty Aversion (2014)
Working Paper: A Bayesian Approach to Uncertainty Aversion (2000)
Working Paper: - A BAYESIAN APPROACH TO UNCERTAINTY AVERSION (1999)
Working Paper: A Bayesian Approach to Uncentainty Aversion
Working Paper: A Bayesian Approach to Uncentainty Aversion
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