Ambiguity through confidence functions
Autores
Chateauneuf, Alain
Orientador
Co-orientadores
Citações na Scopus
Tipo de documento
Artigo Científico
Data
2009
Resumo
We characterize preference relations over bounded below Anscombe and Aumann’s acts and give necessary and sufficient conditions that guarantee the existence of a utility function u on consequences, a confidence function ϕ on the set of all probabilities over states of nature, and a positive threshold level of confidence ˛0 such that our preference relation has a functional representation J, where given an act f
J(f) = min
p ∈ L˛0 ϕ
1
ϕ(p)
S
u(f) dp.
The level set L˛0ϕ := {p : ϕ(p) ≥ ˛0} reflects the priors held by the decision maker and the valueϕ(p) captures the relevance of prior p for his decision. The combination ofϕ and˛0 may describe the decision maker’s subjective assessment of available information. An important feature of our representation is the characterization of the maximal confidence function which allows us to obtain results on comparative ambiguity aversion and on special cases,
namely the subjective expected utility, the Choquet expected utility with convex capacity, and the maxmin expected utilit
Palavras-chave
Confidence functions; Ambiguity aversion; Knightian uncertainty; Ambiguity attitudes; Multiple prior model
Vínculo institucional
Titulo de periódico
Journal of Mathematical Economics
DOI
Título de Livro
URL na Scopus
Sinopse
Objetivos de aprendizagem
Idioma
Inglês
Notas
Membros da banca
Área do Conhecimento CNPQ
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CIENCIAS SOCIAIS APLICADAS::ECONOMIA
CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
CIENCIAS SOCIAIS APLICADAS::ECONOMIA