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Uncertainty Aversion, Multi Utility Representations and State Independence of Utility

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Abstract

This paper proposes and characterises a model of uncertainty averse preferences that can simultaneously accommodate three divergences from subjective expected utility: imprecision of beliefs (or ambiguity), imprecision of tastes (or multi utility), and state dependence of utility. Moreover, it characterises, in this context, a notion of state independence of utility borrowed from the literature on incomplete preferences. This notion is then shown to be basically inconsistent with the standard state-independence axiom, monotonicity, whenever tastes are imprecise. A new notion of state independence in the context of imprecise tastes, which is characterised by monotonicity, is proposed.
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hal-02011408 , version 1 (07-02-2019)

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  • HAL Id : hal-02011408 , version 1

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Brian Hill. Uncertainty Aversion, Multi Utility Representations and State Independence of Utility. 2015. ⟨hal-02011408⟩
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