A Model-Free Definition of Increasing Uncertainty
We present a definition of increasing uncertainty, independent of any notion of subjective probabilities, or of any particular model of preferences. Our notion of an elementary increase in the uncertainty of any act corresponds to the addition of an 'elementary bet' which increases consumption by a fixed amount in the (relatively) 'good' states and decreases consumption by a fixed (and possibly different) amount in the (relatively) 'bad' states. This definition naturally gives rise to a dual...[Show more]
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