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Increasing Uncertainty: A Definition

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  • Grant, Simon

    (Rice U)

  • Quiggan, John

    (U of Queensland)

Abstract

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.

Suggested Citation

  • Grant, Simon & Quiggan, John, 2004. "Increasing Uncertainty: A Definition," Working Papers 2002-11, Rice University, Department of Economics.
  • Handle: RePEc:ecl:riceco:2002-11
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    References listed on IDEAS

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    Cited by:

    1. Gil-Lacruz, Ana I. & Gil-Lacruz, Marta, 2011. "Internal Inconsistency and Risk Aversion: Implications on Smoking Decisions/Consistencia interna y aversión al riesgo: implicaciones en la decisión de fumar," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 29, pages 387(18á.)-3, Abril.
    2. Bommier, Antoine & Chassagnon, Arnold & Le Grand, François, 2012. "Comparative risk aversion: A formal approach with applications to saving behavior," Journal of Economic Theory, Elsevier, vol. 147(4), pages 1614-1641.
    3. Antoine Bommier & Francois Le Grand, "undated". "A Robust Approach to Risk Aversion," Working Papers ETH-RC-13-002, ETH Zurich, Chair of Systems Design.
    4. Chambers, Robert G. & Melkonyan, Tigran, 2009. "Smoothing preference kinks with information," Mathematical Social Sciences, Elsevier, vol. 58(2), pages 173-189, September.
    5. Zuber, Stéphane & Asheim, Geir B., 2012. "Justifying social discounting: The rank-discounted utilitarian approach," Journal of Economic Theory, Elsevier, vol. 147(4), pages 1572-1601.
    6. repec:eee:jetheo:v:171:y:2017:i:c:p:213-267 is not listed on IDEAS
    7. Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Sonderforschungsbereich 504 Publications 07-50, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
      • Jürgen Eichberger & David Kelsey, 2007. "Ambiguity," Working Papers 0448, University of Heidelberg, Department of Economics, revised Jul 2007.
      • Eichberger, Jürgen & Kelsey, David, 2007. "Ambiguity," Papers 07-50, Sonderforschungsbreich 504.
    8. Jewitt, Ian & Mukerji, Sujoy, 2017. "Ordering ambiguous acts," Journal of Economic Theory, Elsevier, vol. 171(C), pages 213-267.
    9. Heufer, Jan, 2014. "Nonparametric comparative revealed risk aversion," Journal of Economic Theory, Elsevier, vol. 153(C), pages 569-616.
    10. Michèle Cohen & Isaac Meilijson, 2014. "Preference for safety under the Choquet model: in search of a characterization," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 55(3), pages 619-642, April.
    11. repec:hal:journl:halshs-00429573 is not listed on IDEAS
    12. Marie-Charlotte Guetlein, 2016. "Comparative Risk Aversion in the Presence of Ambiguity," American Economic Journal: Microeconomics, American Economic Association, vol. 8(3), pages 51-63, August.

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    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games

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