Allais, Ellsberg, and preferences for hedging
研究同时表现出阿莱悖论和模糊厌恶的决策者行为，提出一种新的对冲偏好公理，并给出一个结合多先验概率和概率扭曲的决策模型。
Two of the most well known regularities observed in preferences under risk and uncertainty are ambiguity aversion and the Allais paradox. We study the behavior of an agent who can display both tendencies simultaneously. We introduce a novel notion of preference for hedging that applies to both objective lotteries and uncertain acts. We show that this axiom, together with other standard ones, is equivalent to a representation in which the agent (i) evaluates ambiguity using multiple priors, as in the model of Gilboa and Schmeidler (1989), and (ii) evaluates objective lotteries by distorting probabilities, as in the rank dependent utility model, but using the worst from a set of distortions. We show that a preference for hedging is not sufficient to guarantee Ellsberg-like behavior if the agent violates expected utility for objective lotteries; we provide a novel axiom that characterizes this case, linking the distortions for objective and subjective bets.