Uncertainty Aversion Vs. Competence: An Experimental Market Study

Heath and Tversky (1991, Journal of Risk and Uncertainty 4:5–28) posed that reaction to ambiguity is driven by perceived competence. Competence effects may be inconsistent with ambiguity aversion if betting on own judgement is preferred to betting on a chance event, because judgemental probabilities are more ambiguous than chance events. This laboratory experiment analyses whether ambiguity affects prices and volumes in a double auction market, and contrasts ambiguity aversion to competence effects. In order to test for the presence of competence effects, in the experiment uncertainty is tied to the realisation of events about which the decision maker is more or less knowledgeable. Two experiments are presented: in the first, knowledge is exogenous, whereas in the second the knowledge judgement is endogenous. Market prices provide evidence in favour of the competence hypothesis only when competence is self-assessed. Comparable volumes are observed in both experiments.      

The Aversion to the Sequential Resolution of Uncertainty

This paper sets forth and offers an explanation for preferences for the form of the timing of resolution of uncertainty; namely for uncertainty to be resolved all at one time rather than sequentially. The explanation is based on a weakening of the independence axiom, in particular on the notion of disappointment aversion developed in Gul's (1991) axiomatic model of preferences. Implications of this aversion are discussed for issues in finance, intertemporal decision making under uncertainty, high stakes risky situations and consumer self-regulation. The analysis encourages a formulation of preferences over all attributes of interest to the decision maker, including psychological satisfaction.     

Decision-Making Under Scientific Uncertainty: The Economics of the Precautionary Principle

The Precautionary Principle has provided the foundations for building a new risk regulatory pattern under scientific uncertainty. This paper investigates how classical economic theory may, or may not, justify the Precautionary Principle. It examines the link between irreversibility, the prospect of increasing information over time and risk management. In doing so, it brings closer the notion of option value to that of precaution. Using a general modelling framework, it identifies the conditions so that the Precautionary Principle is an efficient economic guideline. It also explains why precautionary policies are not likely to emerge in a competitive economy or in the presence of a global pollution problem.     

Recent developments in modeling preferences: Uncertainty and ambiguity

In subjective expected utility (SEU), the decision weights people attach to events are their beliefs about the likelihood of events. Much empirical evidence, inspired by Ellsberg (1961) and others, shows that people prefer to bet on events they know more about, even when their beliefs are held constant. (They are averse to ambiguity, or uncertainty about probability.) We review evidence, recent theoretical explanations, and applications of research on ambiguity and SEU.Thanks to Jonathan Baron, James Dow, Peter Fishburn, Itzhak Gilboa, Gordon Hazen, Howard Kunreuther, Tomas Phillipson, David Schmeidler, Amos Tversky, the editor, and several anonymous referees for corrections and helpful comments. Camerer's contribution to this work was supported by the National Science Foundation, grant no. SES 88-09299. Weber's contribution was supported by the Deutsche Forschungsge-meinschaft, grant no. WE 993/5-1.     

股票期权制度的非显性约束

新兴的一种有效的经理激励机制——股票期权制度,在魔法般地刺激了美国经济繁荣的同时,也激起了企业家经理人(CEO)无止境的贪欲,但是,股票期权制度没有达到其理想的效果。对股票期权制度的非显性约束机制包括:企业的声誉机制、企业文化、社会制度约束等。     

Effects of Outcome and Probabilistic Ambiguity on Managerial Choices

Information ambiguity is prevalent in organizations and likely influences management decisions. This study examines, given imprecise probabilities and outcomes, how managers make choices when they are provided with single-figure benchmarks. Seventy-nine MBA students completed two experiments. We found that, in a decision framed as a decision under certainty involving an ambiguous outcome, the majority of the subjects were ambiguity prone in the loss condition and switched to ambiguity aversion in the gain condition. However, in the presence of probabilistic ambiguity in a decision under risk, this expected switching pattern was shown only when the difference in riskiness between the two choice options (in the loss condition) was perceived to be relatively small. In a companion study, we used a written protocol approach to identify factors that affect decision makers' investment choices when faced with ambiguous outcomes. Protocols frequently mentioned that the ambiguous outcome option was risky, even in the case which was framed as a decision under certainty in the problem statement. In a decision under risk with ambiguous outcomes, the combination of probabilistic risk and outcome ambiguity was seen as even more risky.     

Ambiguity Aversion in the Field of Insurance: Insurers’ Attitude to Imprecise and Conflicting Probability Estimates

This article presents the results of a survey designed to test, with economically sophisticated participants, Ellsberg’s ambiguity aversion hypothesis, and Smithson’s conflict aversion hypothesis. Based on an original sample of 78 professional actuaries (all members of the French Institute of Actuaries), this article provides empirical evidence that ambiguity (i.e. uncertainty about the probability) affect insurers’ decision on pricing insurance. It first reveals that premiums are significantly higher for risks when there is ambiguity regarding the probability of the loss. Second, it shows that insurers are sensitive to sources of ambiguity. The participants indeed, charged a higher premium when ambiguity came from conflict and disagreement regarding the probability of the loss than when ambiguity came from imprecision (imprecise forecast about the probability of the loss). This research thus documents the presence of both ambiguity aversion and conflict aversion in the field of insurance, and discuses economic and psychological rationales for the observed behaviours.     

电影产业开发的资源利用与文学选择——以陕西为研究范围

现代意义上的电影产业是不需要投入传统的能源、原材料,却能吸引众多高素质的劳动力,形成高附加值的精神产品的＂绿色产业＂。世界电影产业从发现其潜在的价值内容到自觉投入规范性生产,已有近半个世纪的正常运行轨迹。当下中国电影产业已经步入快速发展期,如何更好地从深度和广度上不断扩展它的价值,首推电影产业开发的观念创新。     

经理股票期权的理论基础与效应分析

经理薪酬制度是现代公司治理机制中的重要内容.人力资本理论、创新和风险管理理论、现代契约理论构成经理股票期权的理论基础.股票期权制度的特征,是长期性的激励机制、市场化的评价机制、灵活性的选择机制、可持续性的动力机制.企业实行经理股票期权计划,可使企业形成开放式股权结构,可以不断吸引和稳定优秀人才,增强公司凝聚力;促使管理层注重股东价值;降低直接激励成本;可以降低代理费用;鼓励经理人勇于承担风险;增强薪酬激励效果;矫正经理人的短视心理.     

Communication of ambiguous risk information

This paper reports on the responses of 646 individuals to environmental risk information involving different forms of risk ambiguity. Recipients of more than one set of risk information do not simply average the risk levels provided. Rather, a variety of aspects of the nature of the risks that are communicated influence their probabilistic beliefs. Individuals' perceptions of the risk levels to which they are exposed are likely to be greater: (i) for more ambiguous risks, (ii) for risks for which the unfavorable risk evidence is presented last even when there is no temporal order, (iii) for risks for which the most unfavorable risk studies have been performed most recently, and (iv) for risks where there is asymmetry in the risk ambiguity that imposes substantial potential downside risks. Although these effects are modest for the median individual, the potential for extreme responses that reflect only the most adverse or the most favorable piece of information provided is quite prevalent. These findings are of interest more generally in that they indicate how individuals form their risk perceptions in the presence of risk ambiguity.The authors would like to thank the U.S. Environmental Protection Agency for support of this work under Cooperative Agreements Number CR-815445-01-2 and Number CR-814388-02-1. Dr. Alan Carlin and Dr. Ann Fisher provided valuable guidance in the design of the project, and Dr. Doyle Graham and Dr. Douglas Anthony offered generous assistance in communicating the medical consequences of nerve disease to subjects. Jon LaScala assisted superbly in the administration and analysis of the survey, and Patricia Born provided additional computer programming assistance.     

中印关系的确定性和不确定性

中国和印度是两个崛起中的亚洲大国,中印关系是亚洲地区最重要的双边关系之一。中印之间既有独立外交、发展要务、共同崛起、健康竞争、睦邻政策、亚洲大国、地区合作、全球协调等确定性的方面,它们是中印关系稳定和良性发展的基础和机遇。同时两国之间又存在信任赤字、边界问题、力量对比、美国因素、巴基斯坦、海上通道、核武因素、印度入常等不确定的领域,它们是中印关系不稳定和有可能朝不利方向发展的问题和挑战。     

A variational model of preference under uncertainty

A familiar example devised by Daniel Ellsberg to highlight the effects of event ambiguity on preferences is transformed to separate aleatory uncertainty (chance) from epistemic uncertainty. The transformation leads to a lottery acts model whose states involve epistemic uncertainty; aleatory uncertainty enters into the statedependent lotteries. The model proposes von Neumann-Morgenstern utility for lotteries, additive subjective probability for states, and the use of across-states standard deviation weighted by a coefficient of aversion to variability to account for departures from Anscombe-Aumann subjective expected utility. Properties of the model are investigated and a partial axiomatization is provided.     

项目选择模型的发展初探

项目选择一直是企业资金预算中很重要的一环,关系到企业的成功与失败。通过介绍项目选择评价体系的发展、经典的L-S项目选择净现值模型、实物期权理论以及在不确定理论日趋发展成熟后,项目选择问题新的发展,探析项目选择模型的发展历程,提出相应观点。     

不确定性防范与城市务工人员主观幸福感：基于反事实框架的研究

本文基于2007年中国家庭收入调查数据,评估了不确定性防范对城市务工人员的影响,并获得了一些重要发现：(1)不同类型的不确定性防范措施对影响居民主观幸福感存在着显著差异,参与养老保险、失业保险和工伤保险能够显著提高城市务工人员主观幸福感,但参与医疗保险对城市务工人员主观幸福感没有显著影响;(2)四种不确定性防范手段对城市务工人员之间主观幸福感差异的总贡献率接近10%,其中参与失业保险的贡献率最大。进一步研究发现,城市务工人员主观幸福感变化符合享乐适应理论,即随着不确定性防范措施的逐步实施推广,城市务工人员的主观幸福感可能会返回到未采取不确定性防范措施前的水平。     

Decision making with belief functions: Compatibility and incompatibility with the sure-thing principle

This article studies situations in which information is ambiguous and only part of it can be probabilized. It is shown that the information can be modeled through belief functions if and only if the nonprobabilizable information is subject to the principles of complete ignorance. Next the representability of decisions by belief functions on outcomes is justified by means of a neutrality axiom. The natural weakening of Savage's sure-thing principle to unambiguous events is examined and its implications for decision making are identified.The research of Peter Wakker has been made possible by a fellowship of the Royal Netherlands Academy of Arts and Sciences.     

Anxiety and Decision Making with Delayed Resolution of Uncertainty

In many real-world gambles, a non-trivial amount of time passes before the uncertainty is resolved but after a choice is made. An individual may have a preference between gambles with identical probability distributions over final outcomes if they differ in the timing of resolution of uncertainty. In this domain, utility consists not only of the consumption of outcomes, but also the psychological utility induced by an unresolved gamble. We term this utility anxiety. Since a reflective decision maker may want to include anxiety explicitly in analysis of unresolved lotteries, a multiple-outcome model for evaluating lotteries with delayed resolution of uncertainty is developed. The result is a rank-dependent utility representation (e.g., Quiggin, 1982), in which period weighting functions are related iteratively. Substitution rules are proposed for evaluating compound temporal lotteries. The representation is appealing for a number of reasons. First, probability weights can be interpreted as the cognitive attention allocated to certain outcomes. Second, the model disaggregates strength of preference from temporal risk aversion and thus provides some insight into the old debate about the relationship between von Neumann–Morgenstern utility functions and strength of preference value functions.     

美国对中亚战略的理论参照：确定性与不确定性交替

美国对中亚战略的国际关系理论,既有其契合性和确定性,也存在不周延性和逻辑陷阱,即便有些当时合适的理论也可能因时空转换而发生变异。美国在处理与包括中亚国家在内的伊斯兰世界关系方面多次出现失误或错误,机械套用一些学者推演出来的国际关系理论是重要原因之一,从中也可以反映出美国对中亚战略的不确定性一面。     

On the Effect of Risk Aversion in Bimatrix Games

Nash equilibria with identical supports are compared for bimatrix games that are different with respect to the risk aversion of player 2. For equilibria in 2× 2-bimatrix games and for equilibria with efficient supports in coordination games it is established for which cases increased risk aversion of player 2 benefits or hurts player 2.     

From Transitional to Permanent Uncertainty: Employability of Middle‐aged Workers in Hong Kong

Since the 1990s, Hong Kong has experienced increasing economic uncertainty. Middle‐aged workers, who often have little formal education and limited skills, have been the first casualties of economic restructuring. Initially, their unemployment was considered transitional. Limited government‐sponsored retraining programs were expected to improve their employability. Subsequent economic crises, however, have undercut the hopes of both workers and policy‐makers. Despite improvements in the job market since the mid‐2000s, the belief that unemployment was transitional has been replaced by a permanent state of uncertainty and consequent anxiety. Flexibility is considered the key to sustaining economic growth, and would relieve the insecurity and anxiety associated with unemployment. Policies have been modified, but they are still based on a narrowly defined concept of individual employability, which consolidates the sense of uncertainty. To address the factors contributing to the perception of permanent uncertainty among middle‐aged workers, we advocate a pragmatic approach that takes reference from the notion of flexicurity to mitigate this sense of uncertainty.