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Article Dans Une Revue Games and Economic Behavior Année : 2023

Beyond Uncertainty Aversion

Résumé

Although much of the theoretical and applied literature involving decision under ambiguity works under the assumption of uncertainty aversion, experimental evidence suggests that it is not a universal behavioural trait. This paper introduces and axiomatises the family of α-UA (for α-Uncertainty Attitude) preferences: a simple extension of uncertainty averse preferences with a Hurwicz-style mixing coefficient, so as to admit a richer range of uncertainty attitudes. The parameters of the model are uniquely identified in our characterisation. It provides, in the Hurwicz α-maxmin EU special case, a new resolution of a long-standing identification problem. It also yields novel models, including extensions of variational and multiplier preferences. Comparative statics support the interpretation of the mixing coefficient as an index of imprecision aversion. In a standard portfolio problem, the model yields the intuitive relationship between imprecision aversion and investment in an uncertain asset: as the former increases, the latter decreases.
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Dates et versions

hal-02428398 , version 1 (09-01-2024)

Identifiants

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Brian Hill. Beyond Uncertainty Aversion. Games and Economic Behavior, 2023, 141, pp.196-222. ⟨10.1016/j.geb.2023.06.003⟩. ⟨hal-02428398⟩

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