IDEAS home Printed from https://ideas.repec.org/a/eee/jetheo/v192y2021ics0022053120301228.html
   My bibliography  Save this article

Evaluating ambiguous random variables from Choquet to maxmin expected utility

Author

Listed:
  • Gul, Faruk
  • Pesendorfer, Wolfgang

Abstract

We introduce a new theory of belief revision under ambiguity. It is recursive (random variables are evaluated by backward induction) and consequentialist (the conditional expectation of any random variable depends only on the values the random variable attains on the conditioning event). Agents experience no change in preferences but are sensitive to the timing of resolution of uncertainty. We provide three main theorems: the first characterizes our rule and relates it to standard Bayesian updating; the others show that the dynamic behavior of an agent who adopts our rule is maxmin expected utility with an arbitrary set of priors.

Suggested Citation

  • Gul, Faruk & Pesendorfer, Wolfgang, 2021. "Evaluating ambiguous random variables from Choquet to maxmin expected utility," Journal of Economic Theory, Elsevier, vol. 192(C).
  • Handle: RePEc:eee:jetheo:v:192:y:2021:i:c:s0022053120301228
    DOI: 10.1016/j.jet.2020.105129
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0022053120301228
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.jet.2020.105129?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yoram Halevy & Emre Ozdenoren, 2022. "Uncertainty and compound lotteries: calibration," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 373-395, September.
    2. Hill, Brian, 2022. "Updating confidence in beliefs," Journal of Economic Theory, Elsevier, vol. 199(C).
    3. Cheng, Xiaoyu, 2022. "Relative Maximum Likelihood updating of ambiguous beliefs," Journal of Mathematical Economics, Elsevier, vol. 99(C).
    4. Kops, Christopher & Pasichnichenko, Illia, 2023. "Testing negative value of information and ambiguity aversion," Journal of Economic Theory, Elsevier, vol. 213(C).
    5. Lorenzo Bastianello & José Heleno Faro & Ana Santos, 2022. "Dynamically consistent objective and subjective rationality," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 477-504, September.
    6. Shishkin, Denis & Ortoleva, Pietro, 2023. "Ambiguous information and dilation: An experiment," Journal of Economic Theory, Elsevier, vol. 208(C).
    7. Yi-Hsuan Lin & Fernando Payró Chew, 2024. "Updating Under Imprecise Information," Working Papers 1424, Barcelona School of Economics.

    More about this item

    Keywords

    Ambiguity; Updating; Resolution of uncertainty;
    All these keywords.

    JEL classification:

    • D10 - Microeconomics - - Household Behavior - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jetheo:v:192:y:2021:i:c:s0022053120301228. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/622869 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.