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Increasing uncertainty: A definition

Grant, Simon; Quiggin, John

Description

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...[Show more]

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
URI: http://hdl.handle.net/1885/85268
Source: Mathematical Social Sciences
DOI: 10.1016/j.mathsocsci.2004.08.005

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