×
Chew, Soo Hong; Miao, Bin; Zhong, Songfa

Ellsberg meets Keynes at an urn. (English) Zbl 07766868

Quant. Econ. 14, No. 3, 1133-1162 (2023).

Cited in 1 Document

MSC:

91-XX Game theory, economics, finance, and other social and behavioral sciences

Keywords:

ambiguity; source preference; maxmin expected utility; recursive utility; experiment
Cite Review PDF
Full Text: DOI
OA License

References:

[1] Abdellaoui, Mohammed, AurélienBaillon, LaetitiaPlacido, and Peter P.Wakker (2011), “The rich domain of uncertainty: Source functions and their experimental implementation.” American Economic Review, 101, 695-723.
[2] Abdellaoui, Mohammed, PeterKlibanoff, and LaetitiaPlacido (2015), “Experiments on compound risk in relation to simple risk and to ambiguity.” Management Science, 61, 1306-1322.
[3] Alon, Shiri and DavidSchmeidler (2014), “Purely subjective maxmin expected utility.” Journal of Economic Theory, 152, 382-412. · Zbl 1297.91066
[4] Anscombe, Francis J. and Robert J.Aumann (1963), “A definition of subjective probability.” Annals of mathematical statistics, 34, 199-205. · Zbl 0114.07204
[5] Armantier, Olivier and NicolasTreich (2015), “The rich domain of risk.” Management Science, 62, 1954-1969.
[6] Azrieli, Yaron, Christopher P.Chambers, and Paul J.Healy (2018), “Incentives in experiments: A theoretical analysis.” Journal of Political Economy, 126, 1472-1503.
[7] Bade, Sophie (2015), “Randomization devices and the elicitation of ambiguity‐averse preferences.” Journal of Economic Theory, 159, 221-235. · Zbl 1330.91086
[8] Baillon, Aurélien and HanBleichrodt (2015), “Testing ambiguity models through the measurement of probabilities for gains and losses.” American Economic Journal: Microeconomics, 7, 77-100.
[9] Baillon, Aurélien, HanBleichrodt, ChenLi, and Peter P.Wakker (2021), “Belief hedges: Measuring ambiguity for all events and all models.” Journal of Economic Theory, 198, 105353. · Zbl 1481.91051
[10] Baillon, Aurélien, YoramHalevy, and ChenLi (2022a), “Experimental elicitation of ambiguity attitude using the random incentive system.” Experimental Economics, 1-22.
[11] Baillon, Aurélien, YoramHalevy, and ChenLi (2022b), “Randomize at your own risk: On the observability of ambiguity aversion.” Econometrica, 90, 1085-1107. · Zbl 1515.91051
[12] Barseghyan, Levon, JeffreyPrince, and Joshua C.Teitelbaum (2011), “Are risk preferences stable across contexts? Evidence from insurance data.” American Economic Review, 101, 591-631.
[13] Becker, Selwyn W. and Fred O.Brownson (1964), “What price ambiguity? Or the role of ambiguity in decision‐making.” Journal of Political Economy, 72, 62-73.
[14] Berger, Alex and AgnieszkaTymula (2022), “Controlling ambiguity: The illusion of control in choice under risk and ambiguity.” Journal of Risk and Uncertainty, 65, 261-284.
[15] Burks, Stephen V., Jeffrey P.Carpenter, LorenzGoette, and AldoRustichini (2009), “Cognitive skills affect economic preferences, strategic behavior, and job attachment.” Proceedings of the National Academy of Sciences, 106, 7745-7750.
[16] Casadesus‐Masanell, Ramon, PeterKlibanoff, and EmreOzdenoren (2000), “Maxmin expected utility over Savage acts with a set of priors.” Journal of Economic Theory, 92, 35-65. · Zbl 0980.91017
[17] Charness, Gary, AldoRustichini, and JeroenVan de Ven (2011), “Self‐confidence and strategic deterrence.” Working Paper.
[18] Chew, Soo Hong, BinMiao, and SongfaZhong (2017), “Partial ambiguity.” Econometrica, 85, 1239-1260. · Zbl 1420.91072
[19] Chew, Soo Hong, MarkRatchford, and Jacob S.Sagi (2017), “You need to recognize ambiguity to avoid it.” The Economic Journal, 128, 2480-2506.
[20] Chew, Soo Hong and Jacob S.Sagi (2008), “Small worlds: Modeling preference over sources of uncertainty.” Journal of Economic Theory, 139, 1-24. · Zbl 1132.91370
[21] Chew, Soo Hong, BinMiao, and SongfaZhong (2023), “Supplement to ‘Ellsberg meets Keynes at an urn’.” Quantitative Economics Supplemental Material, 14, https://doi.org/10.3982/QE2253. · Zbl 07766868 · doi:10.3982/QE2253
[22] Conte, Anna and John D.Hey (2013), “Assessing multiple prior models of behaviour under ambiguity.” Journal of Risk and Uncertainty, 46, 113-132.
[23] Cubitt, Robin, GijsVan de Kuilen, and SujoyMukerji (2020), “Discriminating between models of ambiguity attitude: A qualitative test.” Journal of European Economic Association, 18, 708-749.
[24] deLara Resende, José Guilherme and GeorgeWu (2010), “Competence effects for choices involving gains and losses.” Journal of Risk and Uncertainty, 40, 109-132. · Zbl 1231.91080
[25] Dean, Mark and PietroOrtoleva (2019), “The empirical relationship between nonstandard economic behaviors.” Proceedings of the National Academy of Sciences, 116, 16262-16267.
[26] Dillenberger, David and UziSegal (2017), “Skewed noise.” Journal of Economic Theory, 169, 344-364. · Zbl 1400.91175
[27] Einav, Liran, AmyFinkelstein, IulianaPascu, and Mark R.Cullen (2012), “How general are risk preferences? Choices under uncertainty in different domains.” American Economic Review, 102, 2606-2638.
[28] Ellsberg, Daniel (1961), “Risk, ambiguity, and the Savage axioms.” Quarterly Journal of Economics, 75, 643-669. · Zbl 1280.91045
[29] Epstein, Larry G. and YoramHalevy (2018), “Ambiguous correlation.” Review of Economic Studies, 86, 668-693. · Zbl 1439.91017
[30] Ergin, Haluk and FarukGul (2009), “A theory of subjective compound lotteries.” Journal of Economic Theory, 144, 899-929. · Zbl 1162.91331
[31] Fox, Craig R. and AmosTversky (1995), “Ambiguity aversion and comparative ignorance.” Quarterly Journal of Economics, 110, 585-603. · Zbl 0836.90004
[32] Gajdos, Thibault, TakashiHayashi, Jean‐MarcTallon, and Jean‐ChristopheVergnaud (2008), “Attitude toward imprecise information.” Journal of Economic Theory, 140, 23-56.
[33] Ghirardato, Paolo, FabioMaccheroni, and MassimoMarinacci (2004), “Differentiating ambiguity and ambiguity attitude.” Journal of Economic Theory, 118, 133-173. · Zbl 1112.91021
[34] Gilboa, Itzhak (1987), “Expected utility with purely subjective nonadditive probabilities.” Journal of Mathematical Economics, 16, 65-88. · Zbl 0632.90008
[35] Gilboa, Itzhak and DavidSchmeidler (1989), “Maxmin expected utility with non‐unique prior.” Journal of Mathematical Economics, 18, 141-153. · Zbl 0675.90012
[36] Gill, David and VictoriaProwse (2016), “Cognitive ability, character skills, and learning to play equilibrium: A level‐k analysis.” Journal of Political Economy, 124, 1619-1676.
[37] Gillen, Ben, EricSnowberg, and LeeatYariv (2019), “Experimenting with measurement error: Techniques with applications to the caltech cohort study.” Journal of Political Economy, 127, 1826-1863.
[38] Halevy, Yoram (2007), “Ellsberg revisited: An experimental study.” Econometrica, 75, 503-536. · Zbl 1132.91423
[39] Halevy, Yoram and VincentFeltkamp (2005), “A Bayesian approach to uncertainty aversion.” The Review of Economic Studies, 72, 449-466. · Zbl 1121.91030
[40] Heath, Chip and AmosTversky (1991), “Preference and belief: Ambiguity and competence in choice under uncertainty.” Journal of Risk and Uncertainty, 4, 5-28. · Zbl 0729.90713
[41] Johnson, Cathleen, AurélienBaillon, HanBleichrodt, ZhihuaLi, DennieVan Dolder, and Peter P.Wakker (2021), “Prince: An improved method for measuring incentivized preferences.” Journal of Risk and Uncertainty, 62, 1-28.
[42] Kahneman, Daniel and AmosTversky (1979), “Prospect theory: An analysis of decision under risk.” Econometrica, 47, 263-292. · Zbl 0411.90012
[43] Keynes, John Maynard (1921), A Treatise on Probability. MacMillan, London. · Zbl 0925.01037
[44] Klibanoff, Peter, MassimoMarinacci, and SujoyMukerji (2005), “A smooth model of decision making under ambiguity.” Econometrica, 73, 1849-1892. · Zbl 1151.91372
[45] Kocher, Martin G., Amrei MarieLahno, and Stefan T.Trautmann (2018), “Ambiguity aversion is not universal.” European Economic Review, 101, 268-283.
[46] Li, Zhihua, JuliaMüller, Peter P.Wakker, and Tong V.Wang (2018), “The rich domain of uncertainty explored.” Management Science, 64, 3227-3240.
[47] Machina, Mark J. (2004), “Almost‐objective uncertainty.” Economic Theory, 24, 1-54. · Zbl 1099.91043
[48] Machina, Mark J. and DavidSchmeidler (1992), “A more robust definition of subjective probability.” Econometrica, 60, 745-780. · Zbl 0763.90012
[49] Morgenstern, Oskar (1979), “Some reflections on utility.” In Expected Utility Hypotheses and the Allais Paradox, 175-183, Springer, Dordrecht.
[50] Nau, Robert F. (2006), “Uncertainty aversion with second‐order utilities and probabilities.” Management Science, 52, 136-145. · Zbl 1232.91224
[51] Pratt, John W. (1964), “Risk aversion in the small in the large.” Econometrica, 32, 122-136. · Zbl 0132.13906
[52] Quiggin, John (1982), “A theory of anticipated utility.” Journal of Economic Behavior and Organization, 3, 323-343.
[53] Raiffa, Howard (1961), “Risk, ambiguity, and the Savage axioms: Comment.” Quarterly Journal of Economics, 75, 690-694.
[54] Schmeidler, David (1989), “Subjective probability and expected utility without additivity.” Econometrica, 57, 571-587. · Zbl 0672.90011
[55] Segal, Uzi (1987), “The Ellsberg paradox and risk aversion: An anticipated utility approach.” International Economic Review, 28, 175-202. · Zbl 0659.90010
[56] Segal, Uzi (1990), “Two‐stage lotteries without the reduction axiom.” Econometrica, 58, 349-377. · Zbl 0728.90013
[57] Seo, Kyoungwon (2009), “Ambiguity and second‐order belief.” Econometrica, 77, 1575-1605. · Zbl 1178.91053
[58] Smith, Vernon L. (1969), “Measuring nonmonetary utilities in uncertain choices: The Ellsberg urn.” Quarterly Journal of Economics, 83, 324-329.
[59] Trautmann, Stefan T. and GijsVan De Kuilen (2015), “Ambiguity attitudes.” The Wiley Blackwell handbook of judgment and decision making, 1, 89-116.
[60] Tversky, Amos and DanielKahneman (1992), “Advances in prospect theory: Cumulative representation of uncertainty.” Journal of Risk and Uncertainty, 5, 297-323. · Zbl 0775.90106
[61] Vieider, Ferdinand M., MathieuLefebvre, RanouaBouchouicha, ThorstenChmura, RustamdjanHakimov, MichalKrawczyk, and PeterMartinsson (2015), “Common components of risk and uncertainty attitudes across contexts and domains: Evidence from 30 countries.” Journal of the European Economic Association, 13, 421-452.
[62] Wakker, Peter P. (1987), “Nonadditive probabilities and derived strengths of preferences.” Unpublished Manuscript.
[63] Wakker, Peter P. (2007), “Message to referees who want to embark on yet another discussion of the random‐lottery incentive system for individual choice.” https://personal.eur.nl/wakker/miscella/debates/randomlinc.htm.
[64] Weber, Elke U., Ann‐ReneeBlais, and Nancy E.Betz (2002), “A domain‐specific risk‐attitude scale: Measuring risk perceptions and risk behaviors.” Journal of Behavioral Decision Making, 15, 263-290.
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.