A theory of subjective compound lotteries

Journal of Economic Theory

Volumn 144, Issue 3, 2009, Pages 899-929

  Ergin, Haluk ^a   Gul, Faruk ^b  

^a WASHINGTON UNIVERSITY   (United States)

^b PRINCETON UNIVERSITY   (United States)

Author keywords

Compound lottery; Ellsberg paradox; Issue preference; Second order probabilistic sophistication; Second order risk aversion; Uncertainty aversion

Indexed keywords

EID: 64049108676     PISSN: 00220531     EISSN: 10957235     Source Type: Journal    
DOI: 10.1016/j.jet.2008.08.003     Document Type: Article

References (26)

1. M. Abdellaoui, A. Baillon, L. Placido, P.P. Wakker, The rich domain of uncertainty, Working Paper, 2008
2. Allais M. Le Comportement de l'homme rationnel devant le risque: Critique des postulats et axiomes de l'ecole Americaine. Econometrica 21 (1953) 503-546
3. Anscombe F.J., and Aumann R.J. A definition of subjective probability. Ann. Math. Stat. 34 (1963) 199-205
4. Billingsley P. Convergence of Probability Measures (1999), Wiley, New York
5. Ellsberg D. Risk, ambiguity and the Savage axioms. Quart. J. Econ. 75 (1961) 643-669
6. Epstein L.G. A definition of ambiguity aversion. Rev. Econ. Stud. 66 (1999) 579-608
7. Epstein L.G., and Zhang J. Subjective probabilities on subjectively unambiguous events. Econometrica 69 (2001) 265-306
8. Gale D. A theorem on flows in networks. Pacific J. Math. 7 (1957) 1073-1082
9. Ghirardato P., and Marinacci M. Ambiguity made precise: A comparative foundation. J. Econ. Theory 102 (2002) 251-289
10. Gilboa I. Expected utility with purely subjective non-additive probabilities. J. Math. Econ. 16 (1987) 65-88
11. Grant S., Kajii A., and Polak B. Intrinsic preference for information. J. Econ. Theory 83 (1998) 233-259
12. Grant S., and Polak B. Bayesian beliefs with stochastic monotonicity: An extension of Machina and Schmeidler. J. Econ. Theory 130 (2006) 264-282
13. Gul F. A theory of disappointment aversion. Econometrica 59 (1991) 667-686
14. Klibanoff P., Marinacci M., and Mukerji S. A smooth model of decision making under ambiguity. Econometrica 73 (2005) 1849-1892
15. Kreps D.M., and Porteus E.L. Temporal resolution of uncertainty and dynamic choice theory. Econometrica 46 (1978) 185-200
16. Machina M.J., and Schmeidler D. A more robust definition of subjective probability. Econometrica 60 (1992) 745-780
17. Machina M.J., and Schmeidler D. Bayes without Bernoulli. J. Econ. Theory 67 (1995) 106-128
18. Nau R.F. Uncertainty aversion with second-order probabilities and utilities. Management Sci. 52 (2006) 136-145
19. Savage L.J. The Foundations of Statistics (1954), Wiley, New York
20. Schmeidler D. Subjective probability and expected utility without additivity. Econometrica 57 (1989) 571-587
21. Segal U. The Ellsberg paradox and risk aversion: An anticipated utility approach. Int. Econ. Rev. 28 (1987) 175-202
22. Segal U. Two-stage lotteries without the reduction axiom. Econometrica 58 (1990) 349-377
23. K. Seo, Ambiguity and second-order belief, Mimeo, University of Rochester, 2007
24. Tversky A., and Fox C. Weighing risk and uncertainty. Psychol. Rev. 102 (1995) 269-283
25. Wakker P.P. Additive Representations of Preferences (1989), Kluwer Academic Publishers, Dordrecht
26. Wakker P.P. Uncertainty. In: Blume L., and Durlauf S.N. (Eds). The New Palgrave: A Dictionary of Economics (2008), The MacMillan Press, London 6780-6791