UNCERTAINTY AVERSION

Larry Epstein

Working Papers from University of Toronto, Department of Economics

Abstract: A definition of uncertainty or ambiguity aversion is proposed. It is argued that the definition is well-suited to modelling within the Savage (as opposed to Anscombe and Aumann) domain of acts. The defined property of uncertainty aversion has intuitive empirical content, behaves well in specific models of preference (multiple-priors and Choquet expected utility) and is tractable. Tractability is established through use of a nonstandard notion of differentiability for utility functions, called eventwise differentiability.

JEL-codes: D80 D81 (search for similar items in EconPapers)
Pages: 48 pages
Date: 1997-07-09
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Citations: View citations in EconPapers (3)

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