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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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  • Nehring, Klaus, 2009. "Imprecise probabilistic beliefs as a context for decision-making under ambiguity," Journal of Economic Theory, Elsevier, vol. 144(3), pages 1054-1091, May.
    • Handle: RePEc:eee:jetheo:v:144:y:2009:i:3:p:1054-1091
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