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Blackwell's Informativeness Ranking with Uncertainty Averse Preferences
Jian Li*, Junjie Zhou
Date: 2015-05-09 4:15 pm – 4:45 pm
Last modified: 2015-05-04
Abstract
Blackwell (1951, 1953) proposes an informativeness ranking of experiments: Experiment I is more Blackwell-informative than Experiment II if and only if the value
of experiment I is higher than that of experiment II for all expected-utility maximizers. Under commitment and reduction, our main theorem shows that Blackwell
equivalence holds for all convex and strongly monotone preferences, i.e., the uncertainty averse preferences (Cerreia-Vioglio et al. 2011b), which nest most ambiguity
averse preferences commonly used in applications as special cases. Furthermore, we discuss the possibility of extending the equivalence results to the no commitment
case for the maxmin expected utility and variational preferences under certain conditions.
of experiment I is higher than that of experiment II for all expected-utility maximizers. Under commitment and reduction, our main theorem shows that Blackwell
equivalence holds for all convex and strongly monotone preferences, i.e., the uncertainty averse preferences (Cerreia-Vioglio et al. 2011b), which nest most ambiguity
averse preferences commonly used in applications as special cases. Furthermore, we discuss the possibility of extending the equivalence results to the no commitment
case for the maxmin expected utility and variational preferences under certain conditions.