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Inferring preferences from choices under uncertainty

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  • Kuzmics, Christoph

    (Center for Mathematical Economics, Bielefeld University)

Abstract

If a decision maker, in a world of uncertainty a la Anscombe and Aumann (1963), can choose acts according to some objective probability distribution (by throwing dice for instance) from any given set of acts, then there is no set of acts that allows an experimenter to test more than the Axiom of EUOL (that the DM evaluates objective lotteries with an expected utility function). In fact there is no (common) experimental design that allows an experimenter to test more than EUOL. For any decision problem (or set of decision problems), for any preference relation that satisfies the Axiom EUOL, and for any optimal choice (or collection of choices) given this preference relation, there is another preference relation that satisfies EUOL plus the Savage axioms, for which this choice is also optimal.

Suggested Citation

  • Kuzmics, Christoph, 2014. "Inferring preferences from choices under uncertainty," Center for Mathematical Economics Working Papers 462, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:462
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    File URL: https://pub.uni-bielefeld.de/download/2671725/2671726
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    References listed on IDEAS

    as
    1. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2005. "A Smooth Model of Decision Making under Ambiguity," Econometrica, Econometric Society, vol. 73(6), pages 1849-1892, November.
    2. Yoram Halevy & Vincent Feltkamp, 2005. "A Bayesian Approach to Uncertainty Aversion," Review of Economic Studies, Oxford University Press, vol. 72(2), pages 449-466.
    3. Yoram Halevy, 2007. "Ellsberg Revisited: An Experimental Study," Econometrica, Econometric Society, vol. 75(2), pages 503-536, March.
    4. Al-Najjar, Nabil I. & Weinstein, Jonathan, 2009. "The Ambiguity Aversion Literature: A Critical Assessment," Economics and Philosophy, Cambridge University Press, vol. 25(03), pages 249-284, November.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    experiments; ambiguity; decision theory; Knightian uncertainty;

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