预期不确定效用理论

Expected Uncertain Utility Theory

Econometrica · 2014
被引 97
人大 A+FT50ABS 4*

中文导读

提出预期不确定效用理论,用先验和区间效用刻画决策者,将不确定前景转化为区间值前景并按期望区间效用排序,用于解释埃尔斯伯格悖论等模糊性现象。

Abstract

We introduce and analyze expected uncertain utility theory (EUU). A prior and an interval utility characterize an EUU decision maker. The decision maker transforms each uncertain prospect into an interval-valued prospect that assigns an interval of prizes to each state. She then ranks prospects according to their expected interval utilities. We define uncertainty aversion for EUU, use the EUU model to address the Ellsberg Paradox and other ambiguity evidence, and relate EUU theory to existing models.

预期不确定效用理论区间效用不确定性厌恶埃尔斯伯格悖论