The [alpha]-MEU model: A comment
In Ghirardato et al. (2004) , Ghirardato, Macheroni and Marinacci propose a method for distinguishing between perceived ambiguity and the decision-maker[modifier letter apostrophe]s reaction to it. They study a general class of preferences which they refer to as invariant biseparable. This class includes CEU and MEU. They axiomatize a subclass of [alpha]-MEU preferences. If attention is restricted to finite state spaces, we show that any [alpha]-MEU preference relation, satisfies GMM[modifier letter apostrophe]s axioms if and only if [alpha]=0 or 1, that is, the preferences must be either maxmin or maxmax. We show by example that these axioms may be satisfied when the state space is [0,1].
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- Ghirardato, Paolo & Maccheroni, Fabio & Marinacci, Massimo, 2004. "Differentiating ambiguity and ambiguity attitude," Journal of Economic Theory, Elsevier, vol. 118(2), pages 133-173, October.
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- Grant, Simon & Chateauneuf, A. & Eichberger, J., 2002. "Choice under Uncertainty with the Best and Worst in Mind: Neo-additive Capacities," Working Papers 2002-10, Rice University, Department of Economics.
- Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
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"Subjective Probability and Expected Utility without Additivity,"
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- David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
- Jürgen Eichberger & Simon Grant & David Kelsey, 2008. "Differentiating ambiguity: an expository note," Economic Theory, Springer, vol. 36(2), pages 327-336, August.
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