### Abstract

Original language | English |
---|---|

Place of Publication | Tilburg |

Publisher | Microeconomics |

Number of pages | 29 |

Volume | 2001-84 |

Publication status | Published - 2001 |

### Publication series

Name | CentER Discussion Paper |
---|---|

Volume | 2001-84 |

### Fingerprint

### Keywords

- uncertainty
- risk
- non expected utility theory

### Cite this

*A Model-Free Definition of Increasing Uncertainty*. (CentER Discussion Paper; Vol. 2001-84). Tilburg: Microeconomics.

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**A Model-Free Definition of Increasing Uncertainty.** / Grant, S.; Quiggin, J.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - A Model-Free Definition of Increasing Uncertainty

AU - Grant, S.

AU - Quiggin, J.

N1 - Pagination: 29

PY - 2001

Y1 - 2001

N2 - We present a definition of increasing uncertainty, independent of any notion of subjective probabilities, or of any particular model of preferences.Our notion of an elementary increase in the uncertainty of any act corresponds to the addition of an 'elementary bet' which increases consumption by a fixed amount in the (relatively) 'good' states and decreases consumption by a fixed (and possibly different) amount in the (relatively) 'bad' states.This definition naturally gives rise to a dual definition of comparative aversion to uncertainty.We characterize this definition for a popular class of generalized models of choice under uncertainty.

AB - We present a definition of increasing uncertainty, independent of any notion of subjective probabilities, or of any particular model of preferences.Our notion of an elementary increase in the uncertainty of any act corresponds to the addition of an 'elementary bet' which increases consumption by a fixed amount in the (relatively) 'good' states and decreases consumption by a fixed (and possibly different) amount in the (relatively) 'bad' states.This definition naturally gives rise to a dual definition of comparative aversion to uncertainty.We characterize this definition for a popular class of generalized models of choice under uncertainty.

KW - uncertainty

KW - risk

KW - non expected utility theory

M3 - Discussion paper

VL - 2001-84

T3 - CentER Discussion Paper

BT - A Model-Free Definition of Increasing Uncertainty

PB - Microeconomics

CY - Tilburg

ER -