Uncertainty aversion with second-order utilities and probabilities
Uncertainty aversion with second-order utilities and probabilities
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DOI：
10.1287/mnsc.1050.0469
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发表时间：
2006-01-01
影响因子：
5.4
通讯作者：
Nau, RF
中科院分区：
文献类型：
--
作者：
Nau, RF
主观预期的效用理论不能区分对不确定性（模棱两可概率）和对风险（明确概率）的态度的态度。两者都是用非线性实用程序来解释的，而不是事件本身的特性，因此，决策者对所有风险和不确定性的态度都表现出相同的态度。有充分的证据表明，真正的决策者并不总是以这种方式行事（甚至希望行为），而是像Ellsberg（1961）的悖论一样，经常区分风险和不确定性。本文提出了一个简单的公理模型，即对不确定性的非中性态度和对不确定性厌恶的行为测试，即使效用依赖于状态，也适用。决策者可能会在各种事件上表现出对赌博的不同程度的厌恶，例如，在系统上更厌恶赌博对概率更模棱两可的事件的赌博。对于这样的决策者，客观赌博中对偏好的启发可能无法对实现现实世界的决策进行正确的风险规定。
Subjective expected utility theory does not distinguish between attitudes toward uncertainty (ambiguous probabilities) and attitudes toward risk (unambiguous probabilities). Both are explained in terms of nonlinear utility for money rather than properties of events per se, hence, the decision maker displays the same attitude toward all sources of risk and uncertainty. There is ample evidence that real decision makers do not always behave (or even wish to behave) in this way, and instead they often distinguish between risk and uncertainty, as in Ellsberg's (1961) paradox. This paper presents a simple axiomatic model of nonneutral attitudes toward uncertainty and a behavioral test for uncertainty aversion that is applicable even if utility is state dependent. The decision maker may display different degrees of aversion toward gambles on different kinds of events, e.g., being systematically more averse toward gambles on events whose probabilities are more ambiguous. For such a decision maker, the elicitation of preferences among objective gambles may not yield the correct measure of risk aversion for modeling real-world decisions.