客观理性与不确定性厌恶偏好

Objective rationality and uncertainty averse preferences

Theoretical Economics · 2016
被引 13
人大 AABS 4

中文导读

研究了决策者的两种偏好关系:确定性的Bewley偏好和表达选择的不确定性厌恶偏好,证明在特定公理下两者可由相同的概率集和效用函数表示,从而说明两种建模方法互补。

Abstract

As in Gilboa, Maccheroni, Marinacci, and Schmeidler \\cite{GMMS}, we consider a decision maker characterized by two binary relations: $\\succsim^{\\ast}$ and $\\succsim^{{\\small \\wedge}}$. The first binary relation is a Bewley preference. It\\ models the rankings for which the decision maker is sure. The second binary relation is an uncertainty averse preference, as defined by Cerreia-Vioglio, Maccheroni, Marinacci, and Montrucchio \\cite{CMMM}. It models the rankings that the decision maker expresses if he has to make a choice. We assume that $\\succsim^{{\\small \\wedge}}$ is a completion of $\\succsim^{\\ast}% $.\\ We identify axioms under which the set of probabilities and the utility index representing $\\succsim^{\\ast}$ are the same as those representing $\\succsim^{{\\small \\wedge}}$. In this way, we show that Bewley preferences and uncertainty averse preferences, two different approaches in modelling decision making under Knightian uncertainty, are complementary. As a by-product, we extend the main result of Gilboa, Maccheroni, Marinacci, and Schmeidler \\cite{GMMS}, who restrict their attention to maxmin expected utility completions.

Bewley偏好不确定性厌恶偏好客观理性奈特不确定性