Increasing Uncertainty: A Definition

We present a definition of increasing uncertainty, in which an elementary increase in the uncertainty of any act corresponds to the addition of an `elementary bet' that increases consumption by a fixed amount in (relatively) `good' states and decreases consumption by a fixed (and possibly different) amount in (relatively) `bad' states. This definition naturally gives rise to a dual definition of comparative aversion to uncertainty. We characterize this definition for a popular class of generalized models of choice under uncertainty.


Issue Date:
May 15 2004
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/151163
Total Pages:
33
JEL Codes:
C72; D81
Series Statement:
Risk and Uncertainty Program
4/R04




 Record created 2017-04-01, last modified 2017-04-26

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