Journal
JOURNAL OF RISK AND UNCERTAINTY
Volume 41, Issue 2, Pages 113-124Publisher
SPRINGER
DOI: 10.1007/s11166-010-9099-4
Keywords
Ambiguity; Savage axioms; Anscombe-Aumann framework; Independence axiom; Ellsberg paradox
Categories
Ask authors/readers for more resources
This paper takes the Anscombe-Aumann framework with horse and roulette lotteries, and applies the Savage axioms to the horse lotteries and the von Neumann-Morgenstern axioms to the roulette lotteries. The resulting representation of preferences yields a subjective probability measure over states and two utility functions, one governing risk attitudes and one governing ambiguity attitudes. The model is able to accommodate the Ellsberg paradox and preferences for reductions in ambiguity.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available