Risk, Ambiguity, and the Savage Axioms

Ellsberg, D. (1961). Risk, Ambiguity, and the Savage Axioms. The Quarterly Journal of Economics, 75(4), 643-669.

Type

Journal article

Intellectual base

Primary research

Year

1961

DOI

10.2307/1884324

Link

https://doi.org/10.2307/1884324

Cited from

economics_finance, philosophy

Cited by

3 citations across 3 artifacts.

Each citation links to the sentence it supports in the citing article.

Primes

• Expected Utility
  • By the same token, the concept exposes when a decision rule departs from the benchmark: prospect theory's overweighting of small probabilities, the Allais paradox, and the Ellsberg ambiguity aversion are all defined and measured as precise deviations from the expected-utility baseline, which means the baseline supplies the very coordinate system in which irrationality becomes legible.

    This sourceDemonstrates ambiguity aversion: choices over bets with unknown probabilities violate subjective expected utility, a precise deviation from the expected-utility/Savage baseline.

• Risk Aversion
  • Not identical to ambiguity aversion: Ellsberg's paradox (1961)

    This sourceDemonstrates ambiguity aversion: choices over bets with unknown probabilities violate subjective expected utility, distinguishing ambiguity (unknown probabilities) from risk (known probabilities) — a deviation not captured by concavity of U alone.

• Uncertainty
  • The Ellsberg paradox

    This sourceDemonstrates ambiguity aversion: choices over bets with unknown probabilities violate subjective expected utility, a precise deviation from the expected-utility/Savage baseline.

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