Baillon, A., Liu, N. and van Dolder, D. (2017). Comparing uncertainty aversion towards different sources Theory and Decision, 83(1):1--18.
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Affiliated authorDennie van Dolder
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Publication year2017
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JournalTheory and Decision
We propose simple behavioral definitions of comparative uncertainty aversion for a single agent towards different sources of uncertainty. Our definitions allow for the comparison of utility curvature for different sources if the agent{\textquoteright}s choices satisfy subjective expected utility towards each source. We discuss how our definitions can be applied to investigate ambiguity aversion in Klibanoff et al.{\textquoteright}s (Econometrica 73(6):1849–1892, 2005) smooth ambiguity model, to study the effects of learning and situational factors on uncertainty preferences, and to compare uncertainty preferences between different agents.