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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]

dc.contributor.authorGrant, Simon
dc.contributor.authorQuiggin, John
dc.date.accessioned2015-12-13T23:04:12Z
dc.identifier.issn0165-4896
dc.identifier.urihttp://hdl.handle.net/1885/85268
dc.description.abstractWe 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.
dc.publisherElsevier
dc.sourceMathematical Social Sciences
dc.subjectKeywords: Ambiguity; Non-expected utility; Risk; Uncertainty
dc.titleIncreasing uncertainty: A definition
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume49
dc.date.issued2005
local.identifier.absfor140202 - Economic Development and Growth
local.identifier.ariespublicationMigratedxPub13586
local.type.statusPublished Version
local.contributor.affiliationGrant, Simon, College of Business and Economics, ANU
local.contributor.affiliationQuiggin, John, College of Business and Economics, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.startpage117
local.bibliographicCitation.lastpage41
local.identifier.doi10.1016/j.mathsocsci.2004.08.005
dc.date.updated2015-12-12T07:54:08Z
local.identifier.scopusID2-s2.0-12344262159
CollectionsANU Research Publications

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