Probabilistic Sophistication, Second Order Stochastic Dominance, and Uncertainty Aversion

We study the interplay of probabilistic sophistication, second order stochastic dominance, and uncertainty aversion, three fundamental notions in choice under uncertainty. In particular, our main result, Theorem 2, characterizes uncertainty averse preferences that satisfy second order stochastic dominance, as well as uncertainty averse preferences that are probabilistically sophisticated.

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Year of publication:	2010
Authors:	Cerreia-Vioglio, Simone ; Maccheroni, Fabio ; Marinacci, Massimo ; Montrucchio, Luigi
Institutions:	Collegio Carlo Alberto, Università degli Studi di Torino
Subject:	Probabilistic Sophistication \| Second Order Stochastic Dominance \| Uncertainty Aversion \| Unambiguous Events \| Subjective Expected Utility

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Extent:	application/pdf
Series:	Carlo Alberto Notebooks.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 174 22 pages
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008799722