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Imprecise probabilistic beliefs as a context for decision-making under ambiguity

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  • Nehring, Klaus

Abstract

Coherent imprecise probabilistic beliefs are modeled as incomplete comparative likelihood relations admitting a multiple-prior representation. Under a structural assumption of Equidivisibility, we provide an axiomatization of such relations and show uniqueness of the representation. In the second part of the paper, we formulate a behaviorally general "Likelihood Compatibility" axiom relating preferences and probabilistic beliefs and characterize its implications for the class of "invariant biseparable" preferences that includes the MEU and CEU models among others.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 144 (2009)
Issue (Month): 3 (May)
Pages: 1054-1091

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Handle: RePEc:eee:jetheo:v:144:y:2009:i:3:p:1054-1091

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Web page: http://www.elsevier.com/locate/inca/622869

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Keywords: Ambiguity Comparative likelihood Qualitative probability Multiple priors Probabilistic sophistication Probabilistic beliefs Unambiguous events;

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Cited by:
  1. Simone Cerreia-Vioglio & Paolo Ghirardato & Fabio Maccheroni & Massimo Marinacci & Marciano Siniscalchi, 2011. "Rational preferences under ambiguity," Economic Theory, Springer, vol. 48(2), pages 341-375, October.
  2. Hill, Brian, 2011. "Deferral, incomplete preferences and confidence," Les Cahiers de Recherche 940, HEC Paris.
  3. Riedel, Frank & Dana, Rose-Anne, 2013. "Intertemporal equilibria with Knightian uncertainty," Economics Papers from University Paris Dauphine 123456789/11268, Paris Dauphine University.
  4. Raphaël Giraud & Jean-Marc Tallon, 2009. "Are Beliefs a Matter of Taste ? A case for Objective Imprecise Information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00442869, HAL.
  5. Giraud, Raphaël, 0. "Second order beliefs models of choice under imprecise risk: non-additive second order beliefs vs. nonlinear second order utility," Theoretical Economics, Econometric Society.
  6. Faro, José Heleno & Lefort, Jean Philippe, 2013. "Dynamic Objective and Subjective Rationality," Insper Working Papers wpe_312, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  7. repec:hal:journl:halshs-00502781 is not listed on IDEAS
  8. repec:hal:journl:halshs-00442869 is not listed on IDEAS
  9. Simone Cerreia-Vioglio, 2011. "Objective Rationality and Uncertainty Averse Preferences," Working Papers 413, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  10. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2011. "Ambiguity and Robust Statistics," Working Papers 382, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

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