A Definition of Uncertainty Aversion

S-Tier
Journal: Review of Economic Studies
Year: 1999
Volume: 66
Issue: 3
Pages: 579-608

Score contribution per author:

8.043 = (α=2.01 / 1 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

A definition of uncertainty or ambiguity aversion is proposed. It is argued that the definition is well-suited to modelling within the Savage (as opposed to Anscombe and Aumann) domain of acts. The defined property of uncertainty aversion has intuitive empirical content, behaves well in specific models of preference (multiple-priors and Choquet expected utility) and is tractable. Tractability is established through use of a novel notion of differentiability for utility functions, called eventwise differentiability.

Technical Details

RePEc Handle
repec:oup:restud:v:66:y:1999:i:3:p:579-608.
Journal Field
General
Author Count
1
Added to Database
2026-01-25