Journal Article

A Definition of Uncertainty Aversion

Larry G. Epstein

in The Review of Economic Studies

Published on behalf of Review of Economic Studies Ltd

Volume 66, issue 3, pages 579-608
Published in print July 1999 | ISSN: 0034-6527
Published online July 1999 | e-ISSN: 1467-937X | DOI: http://dx.doi.org/10.1111/1467-937X.00099
A Definition of Uncertainty Aversion

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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 novel notion of differentiability for utility functions, called eventwise differentiability.

Journal Article.  0 words. 

Subjects: Economics

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