Baillon, A., Driesen, B. and Wakker, P.P. (2012) Relative concave utility for risk and ambiguity. Games and Economic Behavior, 75(2), pp. 481-489. (doi: 10.1016/j.geb.2012.01.006)
Full text not currently available from Enlighten.
Abstract
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.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Driesen, Dr Bram |
| Authors: | Baillon, A., Driesen, B., and Wakker, P.P. |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Journal Name: | Games and Economic Behavior |
| Publisher: | Elsevier |
| ISSN: | 08998256 |
| Published Online: | 23 February 2012 |
University Staff: Request a correction | Enlighten Editors: Update this record
Deposit and Record Details
Deposit and Record Details