Allais, Ellsberg, and preferences for hedging
نویسندگان
چکیده
منابع مشابه
Allais, Ellsberg, and preferences for hedging
Two of the most well known regularities observed in preferences under risk and uncertainty are ambiguity aversion and the Allais paradox. We study the behavior of an agent who can display both tendencies simultaneously. We introduce a novel notion of preference for hedging that applies to both objective lotteries and uncertain acts. We show that this axiom, together with other standard ones, is...
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We derive axiomatically a model in which the Decision Maker can exhibit simultaneously both the Allais and the Ellsberg paradoxes in the standard setup of Anscombe and Aumann (1963). Using the notion of ‘subjective’, or ‘outcome’ mixture of Ghirardato et al. (2003), we define a novel form of hedging for objective lotteries, and introduce a novel axiom which is a generalized form of preferences ...
متن کاملDivision of the Humanities and Social Sciences California Institute of Technology Pasadena, California 91125 Objective Lotteries as Ambiguous Objects: Allais, Ellsberg, and Hedging
We derive axiomatically a model in which the Decision Maker can exhibit simultaneously both the Allais and the Ellsberg paradoxes in the standard setup of Anscombe and Aumann (1963). Using the notion of ‘subjective’, or ‘outcome’ mixture of Ghirardato et al. (2003), we define a novel form of hedging for objective lotteries, and introduce a novel axiom which is a generalized form of preferences ...
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ژورنال
عنوان ژورنال: Theoretical Economics
سال: 2017
ISSN: 1933-6837
DOI: 10.3982/te1960