Risk, Ambigity and the Separation of Utility and Beliefs

Paolo Ghirardato and Massimo Marinacci

No 1085, Working Papers from California Institute of Technology, Division of the Humanities and Social Sciences

Abstract: We introduce and characterize axiomatically a general model of static choice under uncertainty, which is possibly the weakest model in which a separation of cardinal utility and a representation of beliefs is achieved. Most of the popular non-expected utility models in the literature are special cases of it. To prove its usefulness, we show that the model can be used to generalize several well known results on the characterization of risk aversion. Elsewhere [15] we have shown that it can be fruitfully applied to the problem of characterizing a notion of ambiguity aversion, as the separation of utility and beliefs that we achieve can be used to identify and remove aspects of risk attitude from the decision maker's behavior.

Keywords: Risk Aversion; Ambiguity Aversion; Biseparable Preferences; Choquet Expected Utility; Maxmin Expected Utility; Probabilistic Beliefs (search for similar items in EconPapers)
Pages: 44 pages
Date: 2000-03
New Economics Papers: this item is included in nep-fin and nep-mic
References: Add references at CitEc
Citations:

Published:

Downloads: (external link)
http://www.hss.caltech.edu/SSPapers/wp1085.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.hss.caltech.edu/SSPapers/wp1085.pdf [301 Moved Permanently]--> https://www.hss.caltech.edu/SSPapers/wp1085.pdf)

Related works:
Working Paper: Risk, ambiguity, and the separation of utility and beliefs (2001)
Working Paper: Risk, Ambiguity, and the Separation of Utility and Beliefs (2000)
Working Paper: Risk, Ambiguity and the Separation of Utility and Beliefs (2000)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:clt:sswopa:1085

Ordering information: This working paper can be ordered from
Working Paper Assistant, Division of the Humanities and Social Sciences, 228-77, Caltech, Pasadena CA 91125

Access Statistics for this paper

More papers in Working Papers from California Institute of Technology, Division of the Humanities and Social Sciences Working Paper Assistant, Division of the Humanities and Social Sciences, 228-77, Caltech, Pasadena CA 91125.
Bibliographic data for series maintained by Victoria Mason ().