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Increasing uncertainty: a definition

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  • Grant, Simon
  • Quiggin, John

Abstract

We present a definition of increasing uncertainty, in which an elementary increase in the uncertainty of any act corresponds to the addition of an `elementary bet' that increases consumption by a fixed amount in (relatively) `good' states and decreases consumption by a fixed (and possibly different) amount in (relatively) `bad' states. This definition naturally gives rise to a dual definition of comparative aversion to uncertainty. We characterize this definition for a popular class of generalized models of choice under uncertainty.

(This abstract was borrowed from another version of this item.)

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Bibliographic Info

Article provided by Elsevier in its journal Mathematical Social Sciences.

Volume (Year): 49 (2005)
Issue (Month): 2 (March)
Pages: 117-141

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Handle: RePEc:eee:matsoc:v:49:y:2005:i:2:p:117-141

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Web page: http://www.elsevier.com/locate/inca/505565

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References

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  1. Epstein, Larry G & Zhang, Jiankang, 2001. "Subjective Probabilities on Subjectively Unambiguous Events," Econometrica, Econometric Society, Econometric Society, vol. 69(2), pages 265-306, March.
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  17. Klaus Nehring, . "Capacities And Probabilistic Beliefs: A Precarious Coexistence," Department of Economics 97-08, California Davis - Department of Economics.
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Citations

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Cited by:
  1. BOMMIER, Antoine & ZUBER, Stéphane, 2009. "The Pareto principle of optimal inequality," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2009009, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Gil-Lacruz, Ana I. & Gil-Lacruz, Marta, 2011. "Internal Inconsistency and Risk Aversion: Implications on Smoking Decisions/Consistencia interna y aversión al riesgo: implicaciones en la decisión de fumar," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 29, pages 387 (18 pág, Abril.
  3. Chambers, Robert G. & Melkonyan, Tigran, 2009. "Smoothing preference kinks with information," Mathematical Social Sciences, Elsevier, Elsevier, vol. 58(2), pages 173-189, September.
  4. Antoine Bommier & François Le Grand, 2013. "A Robust Approach to Risk Aversion," CER-ETH Economics working paper series 13/172, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  5. repec:hal:journl:halshs-00429573 is not listed on IDEAS
  6. Stéphane Zuber & Geir B. Asheim, 2010. "Justifying Social Discounting: The Rank-Discounted Utilitarian Approach," CESifo Working Paper Series 3192, CESifo Group Munich.
  7. Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Sonderforschungsbereich 504 Publications 07-50, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    • Jürgen Eichberger & David Kelsey, 2007. "Ambiguity," Working Papers 0448, University of Heidelberg, Department of Economics, revised Jul 2007.
  8. Le Grand, François & Chassagnon, Arnold & Bommier, Antoine, 2012. "Comparative Risk Aversion: A Formal Approach with Applications to Saving Behaviors," Economics Papers from University Paris Dauphine 123456789/4434, Paris Dauphine University.
  9. Michèle Cohen & Isaac Meilijson, 2014. "Preference for safety under the Choquet model: in search of a characterization," Economic Theory, Springer, Springer, vol. 55(3), pages 619-642, April.

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