Increasing uncertainty: A definition
Date
2005
Authors
Grant, Simon
Quiggin, John
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Volume Title
Publisher
Elsevier
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.
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Keywords
Keywords: Ambiguity; Non-expected utility; Risk; Uncertainty
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Source
Mathematical Social Sciences
Type
Journal article
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2037-12-31
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