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.
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Paper provided by Rice University, Department of Economics in its series Working Papers with number
2002-11.
Find related papers by JEL classification: C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
Jürgen Eichberger & David Kelsey, 2007.
"Ambiguity,"
Working Papers
0448, University of Heidelberg, Department of Economics, revised Jul 2007.
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Other versions:
Eichberger, Jürgen & Kelsey, David, 2007.
"Ambiguity,"
Sonderforschungsbereich 504 Publications
07-50, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
[Downloadable!]