Dependence uncertainty: a decision-theoretic approach (opens in new tab)

We propose and axiomatize preferences on a product state space in light of uncertainty regarding the dependency of different payoff-relevant factors. Dependence structures allow to decompose probabilities and allow to pin down behavior towards dependence. The degree of dependence aversion is measured by dependence premia that are compatible with the encompassed MEU and smooth preferences on the dependence uncertainty set. A separation axiom ...