Relative concave utility for risk and ambiguity
This paper presents a general technique for comparing the concavity of different utility functions when probabilities need not be known. It generalizes: (a) Yaariʼs comparisons of risk aversion by not requiring identical beliefs; (b) Kreps and Porteusʼ information-timing preference by not requiring...
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| Hauptverfasser: | , , |
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| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
23 February 2012
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| In: |
Games and economic behavior
Year: 2012, Jahrgang: 75, Heft: 2, Pages: 481-489 |
| ISSN: | 1090-2473 |
| DOI: | 10.1016/j.geb.2012.01.006 |
| Online-Zugang: | Verlag, Volltext: http://dx.doi.org/10.1016/j.geb.2012.01.006 Verlag, Volltext: http://www.sciencedirect.com/science/article/pii/S0899825612000097 
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| Verfasserangaben: | Aurélien Baillon, Bram Driesen, Peter P. Wakker |
MARC
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| 520 | |a This paper presents a general technique for comparing the concavity of different utility functions when probabilities need not be known. It generalizes: (a) Yaariʼs comparisons of risk aversion by not requiring identical beliefs; (b) Kreps and Porteusʼ information-timing preference by not requiring known probabilities; (c) Klibanoff, Marinacci, and Mukerjiʼs smooth ambiguity aversion by not using subjective probabilities (which are not directly observable) and by not committing to (violations of) dynamic decision principles; (d) comparative smooth ambiguity aversion by not requiring identical second-order subjective probabilities. Our technique completely isolates the empirical meaning of utility. It thus sheds new light on the descriptive appropriateness of utility to model risk and ambiguity attitudes. | ||
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