Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jan, 2014, Volume 82, Issue 1

Expected Uncertain Utility Theory

https://doi.org/10.3982/ECTA9188
p. 1-39

Faruk Gul, Wolfgang Pesendorfer

We introduce and analyze () . A prior and an characterize an EUU decision maker. The decision maker transforms each uncertain prospect into an prospect that assigns an interval of prizes to each state. She then ranks prospects according to their expected interval utilities. We define uncertainty aversion for EUU, use the EUU model to address the Ellsberg Paradox and other ambiguity evidence, and relate EUU theory to existing models.


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