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Increasing uncertainty: a definition

  • Grant, Simon
  • Quiggin, John

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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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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  17. Chateauneuf, A. & Cohen, M. & Meilijson, I., 1997. "New Tools to Better Model Behavior Under Risk and UNcertainty: An Oevrview," Papiers d'Economie Mathématique et Applications 97.55, Université Panthéon-Sorbonne (Paris 1).
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