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Econometrica
Article
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zbMATH Open
Article . 2020
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Econometrica
Article . 2020 . Peer-reviewed
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Randomization and Ambiguity Aversion

Randomization and ambiguity aversion
Authors: Ke, Shaowei; Zhang, Qi;

Randomization and Ambiguity Aversion

Abstract

We propose a model of preferences in which the effect of randomization on ambiguity depends on how the unknown probability law is determined. We adopt the framework of Anscombe and Aumann (1963) and relax the axioms. In the resulting representation of the individual's preference, the individual has a collection of sets of priors M . She believes that before she moves, nature has chosen an unknown scenario (a set of priors) from M , and from that scenario, nature will choose a prior after she moves. The representation illustrates how randomization may partially eliminate the effect of ambiguity.

Country
United States
Related Organizations
Keywords

Business and Economics, Economics, ambiguity, Randomization, randomization, hedging, Individual preferences, convex preferences

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    influence
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
29
Top 10%
Top 10%
Top 10%
bronze