Probabilistic Sophistication, Second Order Stochastic Dominance, and Uncertainty Aversion

Article, Preprint OPEN
Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, Massimo; Montrucchio, Luigi;
  • Journal: Journal of Mathematical Economics (issn: 0304-4068)
  • Publisher copyright policies & self-archiving
  • Related identifiers: doi: 10.1016/j.jmateco.2012.05.005
  • Subject: Probabilistic Sophistication; Second Order Stochastic Dominance; Uncertainty Aversion; Unambiguous Events; Subjective Expected Utility
    • jel: jel:D81
    arxiv: Mathematics::Optimization and Control | Computer Science::Computer Science and Game Theory

We study the interplay of probabilistic sophistication, second order stochastic dominance, and uncertainty aversion, three fundamental notions in choice under uncertainty. In particular, our main result, Theorem 2, characterizes uncertainty averse preferences that satis... View more
  • References (20)
    20 references, page 1 of 2

    [2] S. Cerreia-Vioglio, F. Maccheroni, M. Marinacci, and L. Montrucchio, Uncertainty averse preferences, Carlo Alberto WP 77, 2008.

    [3] S. Cerreia-Vioglio, F. Maccheroni, M. Marinacci, and L. Montrucchio, Complete quasiconcave monotone duality, Carlo Alberto WP 80, 2008.

    [5] S. H. Chew and J. S. Sagi, Event exchangeability: Probabilistic sophistication without continuity or monotonicity, Econometrica, 74, 771–786, 2006.

    [6] S. H. Chew and J. S. Sagi, Small worlds: Modeling attitudes toward sources of uncertainty, Journal of Economic Theory, 139, 1-24, 2008.

    [7] K. M. Chong and N. M. Rice, Equimeasurable rearrangements of functions, Queen’s Papers in Pure and Applied Mathematics, 28, 1971.

    [8] P. Ghirardato and M. Marinacci, Ambiguity made precise: A comparative foundation, Journal of Economic Theory, 102, 251–289, 2002.

    [9] P. Ghirardato, F. Maccheroni, and M. Marinacci, Di¬§erentiating ambiguity and ambiguity attitude, Journal of Economic Theory, 118, 133–173, 2004.

    [10] I. Gilboa and D. Schmeidler, Maxmin expected utility with a non-unique prior, Journal of Mathematical Economics, 18, 141–153, 1989.

    [11] S. Grant, Subjective probability without monotonicity: Or how Machina’s mom may also be probabilistically sophisticated, Econometrica, 63, 159–189, 1995.

    [12] S. Grant and B. Polak, Bayesian beliefs with stochastic monotonicity: An extension of Machina and Schmeidler, Journal of Economic Theory, 130, 264–282, 2006.

  • Metrics
Share - Bookmark