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The price for information about probabilities and its relation with risk and ambiguity

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  • Giuseppe Attanasi

    ()

  • Aldo Montesano

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s11238-011-9271-6
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Bibliographic Info

Article provided by Springer in its journal Theory and Decision.

Volume (Year): 73 (2012)
Issue (Month): 1 (July)
Pages: 125-160

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Handle: RePEc:kap:theord:v:73:y:2012:i:1:p:125-160

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Web page: http://www.springerlink.com/link.asp?id=100341

Related research

Keywords: Ambiguity aversion; Choquet expected utility; Information about probabilities; Reservation price for ambiguity resolution; Option value; D81; D83; C91;

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References

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  1. Fabio Maccheroni & Massimo Marinacci & Doriana Ruffino, 2010. "Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis," Working Papers 373, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  2. Ivanov, Asen, 2011. "Attitudes to ambiguity in one-shot normal-form games: An experimental study," Games and Economic Behavior, Elsevier, vol. 71(2), pages 366-394, March.
  3. John Quiggin, 2007. "Ambiguity and the Value of Information: An Almost-objective Events Analysis," Economic Theory, Springer, vol. 30(3), pages 409-414, March.
  4. Halevy, Yoram, 2005. "Ellsberg Revisited: an Experimental Study," Microeconomics.ca working papers halevy-05-07-26-11-51-13, Vancouver School of Economics, revised 25 Feb 2014.
  5. Hey, John D & Orme, Chris, 1994. "Investigating Generalizations of Expected Utility Theory Using Experimental Data," Econometrica, Econometric Society, vol. 62(6), pages 1291-1326, November.
  6. Harrison, Glenn W, 1994. "Expected Utility Theory and the Experimentalists," Empirical Economics, Springer, vol. 19(2), pages 223-53.
  7. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
  8. Sujoy Mukerji & Peter Klibanoff, 2002. "A Smooth Model of Decision,Making Under Ambiguity," Economics Series Working Papers 113, University of Oxford, Department of Economics.
  9. Robert F. Nau, 2006. "Uncertainty Aversion with Second-Order Utilities and Probabilities," Management Science, INFORMS, vol. 52(1), pages 136-145, January.
  10. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
  11. Mark Machina, 2004. "Almost-objective uncertainty," Economic Theory, Springer, vol. 24(1), pages 1-54, 07.
  12. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Econometrica, Econometric Society, vol. 74(6), pages 1447-1498, November.
  13. Arthur Snow, 2010. "Ambiguity and the value of information," Journal of Risk and Uncertainty, Springer, vol. 40(2), pages 133-145, April.
  14. Heath, Chip & Tversky, Amos, 1991. " Preference and Belief: Ambiguity and Competence in Choice under Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 4(1), pages 5-28, January.
  15. John D Hey & Gianna Lotito & Anna Maffioletti, 2008. "The Descriptive and Predictive Adequacy of Theories of Decision Making Under Uncertainty/Ambiguity," Discussion Papers 08/04, Department of Economics, University of York.
  16. Chris Starmer, 2000. "Developments in Non-expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk," Journal of Economic Literature, American Economic Association, vol. 38(2), pages 332-382, June.
  17. Montesano, Aldo, 1991. " Measures of Risk Aversion with Expected and Nonexpected Utility," Journal of Risk and Uncertainty, Springer, vol. 4(3), pages 271-83, July.
  18. Holt, Charles A, 1986. "Preference Reversals and the Independence Axiom," American Economic Review, American Economic Association, vol. 76(3), pages 508-15, June.
  19. Camerer, Colin & Weber, Martin, 1992. " Recent Developments in Modeling Preferences: Uncertainty and Ambiguity," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 325-70, October.
  20. Glenn Harrison & E. Rutström, 2009. "Expected utility theory and prospect theory: one wedding and a decent funeral," Experimental Economics, Springer, vol. 12(2), pages 133-158, June.
  21. Mohammed Abdellaoui & Aurelien Baillon & Laetitia Placido & Peter P. Wakker, 2011. "The Rich Domain of Uncertainty: Source Functions and Their Experimental Implementation," American Economic Review, American Economic Association, vol. 101(2), pages 695-723, April.
  22. Schoemaker, Paul J H, 1982. "The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations," Journal of Economic Literature, American Economic Association, vol. 20(2), pages 529-63, June.
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Cited by:
  1. Attanasi, Giuseppe & Gollier, Christian & Montesano, Aldo & Pace, Noémie, 2012. "Eliciting ambiguity aversion in unknown and in compound lotteries: A KMM experimental approach," LERNA Working Papers 12.21.378, LERNA, University of Toulouse.

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