Uncertainty Aversion and Preference for Randomisation

Eichberger, Jürgen; Kelsey, David

doi:10.1006/jeth.1996.0107

Cited by 51 publications

(55 citation statements)

References 18 publications

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“…Note that [20] and [26] have proposed formal measures of uncertainty-aversion more in the spirit of the present paper. 5 In [14], we show that individuals with CEU preferences will not have a strict preference for randomisation. This provides a justiÖcation for these assumptions.…”

Section: This Implies Ementioning

confidence: 80%

Strategic Complements, Substitutes, and Ambiguity: The Implications for Public Goods

Eichberger¹,

Kelsey²

2002

Journal of Economic Theory

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Section: This Implies Ementioning

confidence: 80%

Strategic Complements, Substitutes, and Ambiguity: The Implications for Public Goods

Eichberger¹,

Kelsey²

2002

Journal of Economic Theory

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“…Not surprisingly from this perspective, they find a preference of players for mixed strategies. The results in Eichberger and Kelsey (1996a) suggest that the Anscombe-Aumann approach, though equivalent under additivity, has behavioural implications under uncertainty that are incompatible with the Savage approach. In particular, there is not a general preference for randomisation in a Savage framework.…”

Section: Good Reasons Could Be Uncertainty About the Equilibrium Selementioning

confidence: 90%

Non-Additive Beliefs and Strategic Equilibria

Eichberger

Kelsey

2000

Games and Economic Behavior

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137

129

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This paper studies n-player games where players beliefs about their opponents behaviour are modelled as non-additive probabilities. The concept of an equilibrium under uncertainty which is introduced in this paper extends the equilibriumnotion of Dowand Werlang (1994) to n-player games in strategic form. Existence of such an equilibrium is demonstrated under usual conditions. For low degrees of ambiguity, equilibria under uncertainty approximate Nash equilibria. At the other extreme, with a low degree of confidence, maximin equilibria appear. Finally, robustness against a lack of confidence may be viewed as a refinement for Nash equilibria.JEL Codes: C72, D81.

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“…Eichberger and Kelsey [11] however made the following observation. Suppose that we represent the DM's preferences in a different way.…”

Section: A Decision-theoretic Applicationmentioning

confidence: 94%

“…The following lemma, due to Eichberger and Kelsey [11), is the key. It says that if a product belief function has an additive marginal then it must satisfy a certain type of additivity itself.…”

Section: Some More Unicitymentioning

confidence: 99%

On Independence for Non-Additive Measures, with a Fubini Theorem

Ghirardato

1997

Journal of Economic Theory

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Recent models of decision making represent agents' beliefs by non-additive set-f unctions. An important technical question which arises in applications to diverse aereas of eco nomics is how to define independence of such set-functions. After arguing that the straightforward generalization of independence does not in general yield a unique prod uct, in this work I show that, while Fubini's theorem is in general false if additivity is not granted, it is true when a certain type of function is being integrated. For these functions the iterated integrals coincide with the integral with respect to products which satisfy a certain property, strictly stronger than independence. I show that most of the assumptions made in these results are very close to being necessary. In general the men tioned property is still not strong enough to uniquely define a product. On the other hand I discuss some proposals which have been made in the literature, and I show that u_ nicity can however be obtained when the product is assumed to be a belief function. Moreover I show that the unique product thus obtained has an intuitive justification when the marginals are distributions indu . ced by random correspondences. Finally I use the results in the paper to discuss the question of randomization in decision models with non-additive beliefs.

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Uncertainty Aversion and Preference for Randomisation

Cited by 51 publications

References 18 publications

Strategic Complements, Substitutes, and Ambiguity: The Implications for Public Goods

Strategic Complements, Substitutes, and Ambiguity: The Implications for Public Goods

Non-Additive Beliefs and Strategic Equilibria

On Independence for Non-Additive Measures, with a Fubini Theorem

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