Stochastically independent randomization and uncertainty aversion
Stochastically independent randomization and uncertainty aversion
复制标题
随机独立的随机化和不确定性厌恶
DOI：
10.1007/pl00004201
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发表时间：
2001
期刊：
影响因子：
1.3
通讯作者：
Peter Klibanoff
中科院分区：
文献类型：
--
作者：
Peter Klibanoff
概括。本文提出了一种基于偏好的条件，用于产品状态空间中随机化设备的随机独立性。该条件用于调查某些类别的偏好，这些偏好既允许独立随机化，也允许不确定性或模糊性厌恶（a la Ellsberg）。例如，当在 Savage 框架中强加 Choquet 预期效用 (CEU) 偏好时，该框架表现出了 Schmeidler [27] 精神的不确定性厌恶，它会导致预期效用 (EU) 崩溃。这表明在 Schmeidler 意义上厌恶不确定性的 CEU 偏好不应在允许独立随机化的环境中使用。相比之下，当施加随机独立性时，具有多个先验偏好的 Maxmin EU 继续允许各种各样的不确定性厌恶偏好。此外，这些观点还用于重新审视最近一些反对随机化偏好和厌恶不确定性偏好的论点。特别是，这些论点被证明依赖于不将随机化视为随机独立事件的偏好。
Summary. This paper proposes a preference-based condition for stochastic independence of a randomizing device in a product state space. This condition is applied to investigate some classes of preferences that allow for both independent randomization and uncertainty or ambiguity aversion (a la Ellsberg). For example, when imposed on Choquet Expected Utility (CEU) preferences in a Savage framework displaying uncertainty aversion in the spirit of Schmeidler [27], it results in a collapse to Expected Utility (EU). This shows that CEU preferences that are uncertainty averse in the sense of Schmeidler should not be used in settings where independent randomization is to be allowed. In contrast, Maxmin EU with multiple priors preferences continue to allow for a very wide variety of uncertainty averse preferences when stochastic independence is imposed. Additionally, these points are used to reexamine some recent arguments against preference for randomization with uncertainty averse preferences. In particular, these arguments are shown to rely on preferences that do not treat randomization as a stochastically independent event.