Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

A simplified axiomatic approach to ambiguity aversion

William S. Neilson
Journal of Risk and Uncertainty
Vol. 41, No. 2 (October 2010), pp. 113-124
Published by: Springer
Stable URL: http://www.jstor.org/stable/41761427
Page Count: 12
  • More info
  • Cite this Item
A simplified axiomatic approach to ambiguity aversion
Preview not available

Abstract

This paper takes the Anscombe-Aumann framework with horse and roulette lotteries, and applies the Savage axioms to the horse lotteries and the von Neumann-Morgenstern axioms to the roulette lotteries. The resulting representation of preferences yields a subjective probability measure over states and two utility functions, one governing risk attitudes and one governing ambiguity attitudes. The model is able to accommodate the Ellsberg paradox and preferences for reductions in ambiguity.

Page Thumbnails

  • Thumbnail: Page 
[113]
    [113]
  • Thumbnail: Page 
114
    114
  • Thumbnail: Page 
115
    115
  • Thumbnail: Page 
116
    116
  • Thumbnail: Page 
117
    117
  • Thumbnail: Page 
118
    118
  • Thumbnail: Page 
119
    119
  • Thumbnail: Page 
120
    120
  • Thumbnail: Page 
121
    121
  • Thumbnail: Page 
122
    122
  • Thumbnail: Page 
123
    123
  • Thumbnail: Page 
124
    124