Ambiguity aversion and ambiguity content in decision making under uncertainty

Gordon B Hazen*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

The Subjectively Weighted Linear Utility (SWLU) model for decision making under uncertainty can accommodate non-neutral attitudes toward ambiguity. We first characterize ambiguity aversion in terms of the SWLU model parameters. In addition, we show that ambiguity content may reasonably be regarded as residing in the decision maker's subjective probability distribution of induced utility. In particular, (a) a special kind of mean preserving spread of the induced utility distribution will always increase ambiguity content, and (b) utility distributions which are more shiftable by new information have higher ambiguity content.

Original languageEnglish (US)
Pages (from-to)415-433
Number of pages19
JournalAnnals of Operations Research
Volume19
Issue number1
DOIs
StatePublished - Dec 1 1989

ASJC Scopus subject areas

  • Decision Sciences(all)
  • Management Science and Operations Research

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