A definition of uncertainty aversion

被引：254
|
作者：
Epstein, LG [1 ]
机构：
[1] Univ Rochester, Rochester, NY 14627 USA
来源：
REVIEW OF ECONOMIC STUDIES | 1999年 / 66卷 / 03期
关键词：
D O I：
10.1111/1467-937X.00099
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
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页码：579 / 608
页数：30
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