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Titolo:
Stochastically independent randomization and uncertainty aversion
Autore:
Klibanoff, P;
Indirizzi:
Northwestern Univ, JL Kellogg Grad Sch Management, Dept Managerial Econ & Decis Sci, Evanston, IL 60208 USA Northwestern Univ Evanston IL USA 60208 Decis Sci, Evanston, IL 60208 USA
Titolo Testata:
ECONOMIC THEORY
fascicolo: 3, volume: 18, anno: 2001,
pagine: 605 - 620
SICI:
0938-2259(200111)18:3<605:SIRAUA>2.0.ZU;2-5
Fonte:
ISI
Lingua:
ENG
Soggetto:
MAXMIN EXPECTED UTILITY; PROBABILITIES; BELIEFS; EQUILIBRIUM; CAPACITIES; ADDITIVITY; THEOREM;
Keywords:
uncertainty aversion; stochastic independence; preference for randomization; ambiguity aversion;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Social & Behavioral Sciences
Citazioni:
29
Recensione:
Indirizzi per estratti:
Indirizzo: Klibanoff, P Northwestern Univ, JL Kellogg Grad Sch Management, Dept Managerial Econ & Decis Sci, Evanston, IL 60208 USA Northwestern Univ Evanston IL USA 60208 anston, IL 60208 USA
Citazione:
P. Klibanoff, "Stochastically independent randomization and uncertainty aversion", ECON THEORY, 18(3), 2001, pp. 605-620

Abstract

This paper proposes a preference-based condition for stochastic independence of a randomizing device in a product state space. This condition is applied to investigate some classes of preferences that allow for both independent randomization and uncertainty or ambiguity aversion (a la Ellsberg). For example, when imposed on Choquet Expected Utility (CEU) preferences in a Savage framework displaying uncertainty aversion in the spirit of Schmeidler [27], it results in a collapse to Expected Utility (EU). This shows that CEU preferences that are uncertainty averse in the sense of Schmeidler should not be used in settings where independent randomization is to be allowed. In contrast, Maxmin EU with multiple priors preferences continue to allowfor a very wide variety of uncertainty averse preferences when stochastic independence is imposed. Additionally, these points are used to reexamine some recent arguments against preference for randomization with uncertainty averse preferences. In particular, these arguments are shown to rely on preferences that do not treat randomization as a stochastically independent event.

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Documento generato il 07/04/20 alle ore 04:17:59