EBSLG

 

 
European Business Schools Librarian's Group
Home About Series Subject/JEL codes Advanced Search
HEC Paris. Research Department Les Cahiers de Recherche - HEC Paris
 

No 1079:
Uncertainty Aversion, Multi Utility Representations and State Independence of Utility

Brian Hill ()

Abstract: This paper proposes and characterises a model of uncertainty averse preferences that can simultaneously accommodate three divergences from subjective expected utility: imprecision of beliefs (or ambiguity), imprecision of tastes (or multi utility), and state dependence of utility. Moreover, it characterises, in this context, a notion of state independence of utility borrowed from the literature on incomplete preferences. This notion is then shown to be basically inconsistent with the standard state-independence axiom, monotonicity, whenever tastes are imprecise. A new notion of state independence in the context of imprecise tastes, which is characterised by monotonicity, is proposed.

Keywords: State independence of utility; imprecise tastes; uncertainty aversion; multi utility; multiple priors; state-dependent utility; (follow links to similar papers)

JEL-Codes: D81; (follow links to similar papers)

42 pages, January 22, 2015

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

papers.cfm?abstract_id=2555504    PDF-file
Download Statistics

Questions (including download problems) about the papers in this series should be directed to Sandra Dupouy ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design Joakim Ekebom

Handle: RePEc:ebg:heccah:1079 This page was generated on 2015-06-02 11:31:33