Aggregation of not necessarily independent opinions
AbstractWe consider an aggregation scheme of opinions expressed through different probability distributions or multiple priors decision model. The decision-maker adopts entropy maximization as a measure of risk diversification and a rational form of prudence for valuing uncertain outcomes. We show a new aggregation rule formalization based on the idea that the decision-maker has a more reliable set of outcomes called ordinary and two fat tails that include more ambiguous and extreme events.
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Bibliographic InfoPaper provided by Department of Economics, University of Siena in its series Department of Economics University of Siena with number 677.
Date of creation: Jun 2013
Date of revision:
Ambiguity; Aggregation; Entropy; Multiple Priors; Quantiles;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-31 (All new papers)
- NEP-CDM-2013-08-31 (Collective Decision-Making)
- NEP-MIC-2013-08-31 (Microeconomics)
- NEP-RMG-2013-08-31 (Risk Management)
- NEP-UPT-2013-08-31 (Utility Models & Prospect Theory)
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