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Second-Order Expected Utility

Author

Listed:
  • Simon Grant
  • Ben Polak
  • Tomasz Strzalecki

Abstract

We present two axiomatizations of the Second-Order Expected Utility model in the context of the standard models of choice under uncertainty.

Suggested Citation

  • Simon Grant & Ben Polak & Tomasz Strzalecki, "undated". "Second-Order Expected Utility," Working Paper 8340, Harvard University OpenScholar.
    • Handle: RePEc:qsh:wpaper:8340
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    File URL: http://scholar.harvard.edu/tomasz/node/8340
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    Citations

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    Cited by:

    1. Cerreia-Vioglio, Simone & Maccheroni, Fabio & Marinacci, Massimo & Montrucchio, Luigi, 2012. "Probabilistic sophistication, second order stochastic dominance and uncertainty aversion," Journal of Mathematical Economics, Elsevier, vol. 48(5), pages 271-283.
    2. David Dillenberger & Andrew Postlewaite & Kareen Rozen, 2017. "Optimism and Pessimism with Expected Utility," Journal of the European Economic Association, European Economic Association, vol. 15(5), pages 1158-1175.
    3. Beggs, Alan, 2021. "Games with second-order expected utility," Games and Economic Behavior, Elsevier, vol. 130(C), pages 569-590.
    4. Stanca, Lorenzo, 2021. "Smooth aggregation of Bayesian experts," Journal of Economic Theory, Elsevier, vol. 196(C).
    5. David Dillenberger & Andrew Postlewaite & Kareen Rozen, 2011. "Optimism and Pessimism with Expected Utility, Third Version," PIER Working Paper Archive 13-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 26 Dec 2012.
    6. Li, Jian & Zhou, Junjie, 2020. "Information order in monotone decision problems under uncertainty," Journal of Economic Theory, Elsevier, vol. 187(C).
    7. Faro, José Heleno, 2015. "Variational Bewley preferences," Journal of Economic Theory, Elsevier, vol. 157(C), pages 699-729.
    8. Nabil I. Al-Najjar & Luciano De Castro, 2010. "Observability and “Second-Order Acts"," Discussion Papers 1531, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    9. Nabil I. Al-Najjar & Luciano De Castro, 2010. "Prediction Markets to Forecast Electricity Demand," Discussion Papers 1529, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    10. Burkovskaya, Anastasia & Li, Jian, 2020. "Comparative Profitability of Product Disclosure Statements," Working Papers 2020-01, University of Sydney, School of Economics.
    11. Stanca, Lorenzo, 2020. "A simplified approach to subjective expected utility," Journal of Mathematical Economics, Elsevier, vol. 87(C), pages 151-160.
    12. David Dillenberger & Andrew Postlewaite & Kareen Rozen, 2011. "Optimism and Pessimism with Expected Utility, Fourth Version," PIER Working Paper Archive 13-068, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Nov 2013.
    13. David Dillenberger & Andrew Postlewaite & Kareen Rozen, 2013. "Optimism and Pessimism with Expected Utility, Fifth Version," PIER Working Paper Archive 15-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 23 Feb 2015.
    14. William Neilson, 2010. "A simplified axiomatic approach to ambiguity aversion," Journal of Risk and Uncertainty, Springer, vol. 41(2), pages 113-124, October.
    15. Nunez, Manuel & Schneider, Mark, 2019. "Mean-dispersion preferences with a specific dispersion function," Journal of Mathematical Economics, Elsevier, vol. 84(C), pages 195-206.
    16. Alexander Peysakhovich & Uma R. Karmarkar, 2016. "Asymmetric Effects of Favorable and Unfavorable Information on Decision Making Under Ambiguity," Management Science, INFORMS, vol. 62(8), pages 2163-2178, August.
    17. Ghirardato, Paolo & Pennesi, Daniele, 2020. "A general theory of subjective mixtures," Journal of Economic Theory, Elsevier, vol. 188(C).
    18. David Dillenberger & Andrew Postlewaite & Kareen Rozen, 2011. "Optimism and Pessimism with Expected Utility, Second Version," PIER Working Paper Archive 12-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 Aug 2012.
    19. Mark Schneider & Manuel Nunez, 2016. "Mean-Dispersion Preferences with a Specific Dispersion Function," Working Papers 16-10, Chapman University, Economic Science Institute.
    20. Jaromír Kovářík & Dan Levin & Tao Wang, 2016. "Ellsberg paradox: Ambiguity and complexity aversions compared," Journal of Risk and Uncertainty, Springer, vol. 52(1), pages 47-64, February.
    21. Victor Filipe Martins da Rocha & Rafael Mouallem, 2020. "Second-Order Beliefs and Second-Order Expected Utility," Working Papers hal-02922263, HAL.
    22. Li, Jian & Zhou, Junjie, 2016. "Blackwell's informativeness ranking with uncertainty-averse preferences," Games and Economic Behavior, Elsevier, vol. 96(C), pages 18-29.

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