Comparing uncertainty aversion towards different sources

We propose simple behavioral definitions of comparative uncertainty aversion for a single agent towards different sources of uncertainty. Our definitions allow for the comparison of utility curvature for different sources if the agent’s choices satisfy subjective expected utility towards each source. We discuss how our definitions can be applied to investigate ambiguity aversion in Klibanoff et al.’s (Econometrica 73(6):1849–1892, 2005) smooth ambiguity model, to study the effects of learning and situational factors on uncertainty preferences, and to compare uncertainty preferences between different agents. This research was made possible by a grants from the Netherlands Organization for Scientific Research (Award No. 452-13-013) and the Economic and Social Research Council via the Network for Integrated Behavioural Sciences (Award No. ES/K002201/1). We thank Jan Heufer, Igor Kopylov, Fabio Maccheroni, Massimo Marinacci and Peter Wakker for useful suggestions. B Aurélien Baillon [email protected] http://www.aurelienbaillon.com Ning Liu [email protected] https://www.sites.google.com/site/ningliuhomepage Dennie van Dolder [email protected] http://www.dennievandolder.com 1 Erasmus School of Economics, Erasmus University Rotterdam, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands 2 Ettore Bocconi Department of Economics, Bocconi University, via Roentgen 1, 20136 Milan, Italy 3 Nottingham School of Economics, University of Nottingham, University Park, Nottingham NG7 2RD, UK