Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171650
Authors: 
Bommier, Antoine
Year of Publication: 
2014
Series/Report no.: 
Economics Working Paper Series 14/207
Abstract: 
In this paper, the assumption of monotonicity of Anscombe and Aumann (1963) is replaced by a weaker assumption of monotonicity with respect to first order stochastic dominance. I derive a representation result where ambiguous distributions of objective beliefs are first aggregated into “equivalent unambiguous beliefs” and then risk preferences are used to compute the utility of these equivalent unambiguous beliefs. Such an approach makes it possible to disentangle ambiguity aversion, related to the treatment of information, and risk aversion, related to the evaluation of the equivalent unambiguous beliefs. An application shows the tractability of the framework and its intuitive appeal.
Subjects: 
ambiguity aversion
first-order stochastic dominance
separability
comonotonic sure-thing principle
rank-dependent utility
saving behavior
JEL: 
D81
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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