Perceived ambiguity and relevant measures
We axiomatize preferences that can be represented by a monotonic aggregation of subjective expected utilities generated by a utility function and some set of i.i.d. probability measures over a product state space, S1. For such preferences, we define relevant measures, show that they are treated as i...
| Váldodahkkit: | , , |
|---|---|
| Materiálatiipa: | Working paper |
| Almmustuhtton: |
University of Oxford
2014
|
| _version_ | 1826281662722342912 |
|---|---|
| author | Mukerji, S Klibanoff, P Seo, K |
| author_facet | Mukerji, S Klibanoff, P Seo, K |
| author_sort | Mukerji, S |
| collection | OXFORD |
| description | We axiomatize preferences that can be represented by a monotonic aggregation of subjective expected utilities generated by a utility function and some set of i.i.d. probability measures over a product state space, S1. For such preferences, we define relevant measures, show that they are treated as if they were the only marginals possibly governing the state space and connect them with the measures appearing in the aforementioned representation. These results allow us to interpret relevant measures as reflecting part of perceived ambiguity, meaning subjective uncertainty about probabilities over states. Under mild conditions, we show that increases or decreases in ambiguity aversion cannot affect the relevant measures. This property, necessary for the conclusion that these measures reflect only perceived ambiguity, distinguishes the set of relevant measures from the leading alternative in the literature. We apply our findings to a number of well-known models of ambiguity-sensitive preferences. For each model, we identify the set of relevant measures and the implications of comparative ambiguity aversion. |
| first_indexed | 2024-03-07T00:32:10Z |
| format | Working paper |
| id | oxford-uuid:8030162c-9dc5-4c6e-b4e6-5b964038d5ba |
| institution | University of Oxford |
| last_indexed | 2024-03-07T00:32:10Z |
| publishDate | 2014 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:8030162c-9dc5-4c6e-b4e6-5b964038d5ba2022-03-26T21:21:41ZPerceived ambiguity and relevant measuresWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:8030162c-9dc5-4c6e-b4e6-5b964038d5baBulk import via SwordSymplectic ElementsUniversity of Oxford2014Mukerji, SKlibanoff, PSeo, KWe axiomatize preferences that can be represented by a monotonic aggregation of subjective expected utilities generated by a utility function and some set of i.i.d. probability measures over a product state space, S1. For such preferences, we define relevant measures, show that they are treated as if they were the only marginals possibly governing the state space and connect them with the measures appearing in the aforementioned representation. These results allow us to interpret relevant measures as reflecting part of perceived ambiguity, meaning subjective uncertainty about probabilities over states. Under mild conditions, we show that increases or decreases in ambiguity aversion cannot affect the relevant measures. This property, necessary for the conclusion that these measures reflect only perceived ambiguity, distinguishes the set of relevant measures from the leading alternative in the literature. We apply our findings to a number of well-known models of ambiguity-sensitive preferences. For each model, we identify the set of relevant measures and the implications of comparative ambiguity aversion. |
| spellingShingle | Mukerji, S Klibanoff, P Seo, K Perceived ambiguity and relevant measures |
| title | Perceived ambiguity and relevant measures |
| title_full | Perceived ambiguity and relevant measures |
| title_fullStr | Perceived ambiguity and relevant measures |
| title_full_unstemmed | Perceived ambiguity and relevant measures |
| title_short | Perceived ambiguity and relevant measures |
| title_sort | perceived ambiguity and relevant measures |
| work_keys_str_mv | AT mukerjis perceivedambiguityandrelevantmeasures AT klibanoffp perceivedambiguityandrelevantmeasures AT seok perceivedambiguityandrelevantmeasures |