Risk, Ambiguity, and the Separation of Utility and Beliefs
- Creators
- Ghirardato, Paolo
- Marinacci, Massimo
Abstract
We introduce and characterize axiomatically a general model of static choice under uncertainty, which is possibly the weakest model in which a separation of cardinal utility and a representation of beliefs is achieved. Most of the popular non-expected utility models in the literature are special cases of it. To prove its usefulness, we show that the model can be used to generalize several well-known results on the characterization of risk aversion. Elsewhere, we have shown that it can be fruitfully applied to the problem of characterizing a notion of ambiguity aversion, as the separation of utility and beliefs that we achieve can be used to identify and remove aspects of risk attitude from the decision maker's behavior.
Additional Information
We are grateful to Kim Border, Peter Wakker and especially Fabio Maccheroni for helpful comments and discussion. This paper was mostly written while Marinacci was with the Università di Bologna. Marinacci gratefully acknowledges the financial support of MURST. Published as Ghirardato, P., & Marinacci, M. (2001). Risk, ambiguity, and the separation of utility and beliefs. Mathematics of operations research, 26(4), 864-890.Attached Files
Submitted - sswp1085.pdf
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Additional details
- Eprint ID
- 79973
- Resolver ID
- CaltechAUTHORS:20170808-154249780
- Ministero dell'Università e della Ricerca Scientifico-Tecnologica (MURST)
- Cofin2000
- Created
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2017-08-09Created from EPrint's datestamp field
- Updated
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2019-10-03Created from EPrint's last_modified field
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 1085