期刊名称：Discussion Paper Series / Department of Economics, New York University
出版年度：2006
卷号：1
出版社：New York University
摘要：We show that a general process of decision making involves un-
certainty about two di¤erent sets: the domain of the acts and another set,
which we call the set of models for the decision maker. We study the e¤ect of
di¤erent information structures on the set of models, and prove the existence
of a dichotomy: either the decision maker.s ranking of the acts obeys Subjec-
tive Expected Utility theory or there are many events to which probabilities
cannot be assigned. We use this result to formalize the idea of Knightian
Uncertainty. The relevance of information structures associated to Knightian
Uncertainty is shown by means of examples, one of which is a version of Ells-
berg.s experiments. Our .ndings show that a decision maker faces, generally
speaking, uncertainties of two di¤erent types ."uncertainty about which state
obtains" and "uncertainty about how the world works" . and that Savage.s
theory considers only uncertainty of the .rst type. Finally, in situations of
Knightian Uncertainty, we identify the class of events to which probabilities
can be assigned, and study the relation with the class of unambiguous events
in the sense of [13] and [25].
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