On the Measurement of Uncertainty Aversion
AbstractThis paper proposes a measure of uncertainty-aversion analogous to the Arrow-Pratt Measure of risk aversion. We apply it to multiple priors and non additive probability models of uncertaity. In these models there is non distinction between uncertainty and aversion to it. Hence our theory can olso be interpreted as a measure of uncertainty.
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Bibliographic InfoPaper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number 96-02.
Length: 21 pages
Date of creation: 1996
Date of revision:
RISK; PROBABILITY; ECONOMIC MODELS;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- D89 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Other
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- Eichberger, Jürgen & Kelsey, David, 2007.
Sonderforschungsbereich 504 Publications
07-50, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
- Eichberger, Jurgen & Kelsey, David, 2002. "Strategic Complements, Substitutes, and Ambiguity: The Implications for Public Goods," Journal of Economic Theory, Elsevier, vol. 106(2), pages 436-466, October.
- Tapking, Jens, 2004. "Axioms for preferences revealing subjective uncertainty and uncertainty aversion," Journal of Mathematical Economics, Elsevier, vol. 40(7), pages 771-797, November.
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