Decision theory under ambiguity
Jean-Marc Tallon
- Fonction : Auteur
- PersonId : 740561
- IdHAL : jean-marc-tallon
- ORCID : 0000-0003-1762-9633
- IdRef : 035261307
Résumé
We review recent advances in the field of decision making under uncertainty or ambiguity. We start with a presentation of the general approach to a decision problem under uncertainty, as well as the 'standard' Bayesian treatment and issues with this treatment. We present more general approaches (Choquet expected utility, maximin expected utility, smooth ambiguity and so forth) that have been developed in the literature under the name of models of ambiguity sensitive preferences. We draw a distinction between fully subjective models and models incorporating explicitly some information. We review definitions and characterizations of ambiguity aversion in these models. We mention the challenges posed by some of the models presented. We end with a review of part of the experimental literature and applications of these models to economic settings.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Decision theory under ambiguity
|
Résumé |
en
We review recent advances in the field of decision making under uncertainty or ambiguity. We start with a presentation of the general approach to a decision problem under uncertainty, as well as the 'standard' Bayesian treatment and issues with this treatment. We present more general approaches (Choquet expected utility, maximin expected utility, smooth ambiguity and so forth) that have been developed in the literature under the name of models of ambiguity sensitive preferences. We draw a distinction between fully subjective models and models incorporating explicitly some information. We review definitions and characterizations of ambiguity aversion in these models. We mention the challenges posed by some of the models presented. We end with a review of part of the experimental literature and applications of these models to economic settings.
|
Auteur(s) |
Johanna Etner
1
, Meglena Jeleva
2
, Jean-Marc Tallon
3, 4
1
CERSES - UMR 8137 -
Centre de recherche sens, ethique, société
( 1281 )
- 45 rue des Saints-Pères 75270 Paris cedex 06
- France
2
GAINS -
Groupe d'Analyse des Itinéraires et des Niveaux Salariaux
( 198500 )
- Université du Maine - Avenue Olivier Messiaen - 72085 Le Mans cedex 9
- France
3
CES -
Centre d'économie de la Sorbonne
( 15080 )
- Maison des Sciences Économiques - 106-112 Boulevard de l'Hôpital - 75647 Paris Cedex 13
- France
4
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
|
Langue du document |
Anglais
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2012-04
|
Volume |
26
|
Numéro |
2
|
Page/Identifiant |
234-270
|
Domaine(s) |
|
Mots-clés (JEL) |
|
Financement |
|
Mots-clés |
en
Ambiguity, ambiguity aversion, uncertainty, decision
|
DOI | 10.1111/j.1467-6419.2010.00641.x |
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