Estimating Aversion to Uncertainty


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Estimating Aversion to Uncertainty

Show simple item record Andersen, Steffen Fountain, John Harrison, Glenn W. Rutström, E. Elisabet 2009-05-28 2009-05-28T09:11:39Z 2009-05-28T09:11:39Z 2009-05-28T09:11:39Z
dc.description.abstract It is intuitive that decision-makers might have attitudes towards uncertainty just as they might have attitudes towards risk. However, it is only recently that this intuitive notion has been formalized and axiomatically characterized. We estimate the extent of uncertainty aversion in a manner that is parsimonious and consistent with theory. We demonstrate that one can jointly estimate attitudes towards uncertainty, attitudes towards risk, and subjective probabilities in a rigorous manner. Our structural econometric model constructively demonstrates the theoretical claims that it is possible to define uncertainty aversion in an empirically tractable manner. Our results show that attitudes towards risk and uncertainty can be different, qualitatively and quantitatively, and that allowing for these differences can have significant effects on inferences about subjective probabilities. en_US
dc.format.extent 71 s. en_US
dc.language eng en_US
dc.relation.ispartofseries Working paper;2009-07
dc.title Estimating Aversion to Uncertainty en_US
dc.type wp en_US
dc.accessionstatus modt09maj28 nijemo en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Økonomisk Institut en_US
dc.contributor.departmentshort ECON en_US
dc.contributor.departmentuk Department of Economics en_US
dc.contributor.departmentukshort ECON en_US
dc.idnumber x656597398 en_US
dc.publisher.year 2009 en_US

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