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On the uses of the monotonicity and independence axioms in models of ambiguity aversion

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  • Nascimento, Leandro
  • Riella, Gil

Abstract

This paper suggests an alternative axiomatization of two canonical models of ambiguity aversion. Instead of relaxing the independence axiom to accommodate uncertainty aversion, we impose independence on constant acts only. Maxmin and variational preferences are characterized by different strengthenings of the monotonicity axiom.

Suggested Citation

  • Nascimento, Leandro & Riella, Gil, 2010. "On the uses of the monotonicity and independence axioms in models of ambiguity aversion," Mathematical Social Sciences, Elsevier, vol. 59(3), pages 326-329, May.
    • Handle: RePEc:eee:matsoc:v:59:y:2010:i:3:p:326-329
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    References listed on IDEAS

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    1. Chateauneuf, Alain, 1991. "On the use of capacities in modeling uncertainty aversion and risk aversion," Journal of Mathematical Economics, Elsevier, vol. 20(4), pages 343-369.
    2. Daniel Ellsberg, 2000. "Risk, Ambiguity and the Savage Axioms," Levine's Working Paper Archive 7605, David K. Levine.
    3. F J Anscombe & R J Aumann, 2000. "A Definition of Subjective Probability," Levine's Working Paper Archive 7591, David K. Levine.
    4. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
    5. Daniel Ellsberg, 1961. "Risk, Ambiguity, and the Savage Axioms," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 75(4), pages 643-669.
    6. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Econometrica, Econometric Society, vol. 74(6), pages 1447-1498, November.
    7. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
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    Cited by:

    1. Amit Kothiyal & Vitalie Spinu & Peter Wakker, 2014. "An experimental test of prospect theory for predicting choice under ambiguity," Journal of Risk and Uncertainty, Springer, vol. 48(1), pages 1-17, February.
    2. Nascimento, Leandro & Riella, Gil, 2011. "A class of incomplete and ambiguity averse preferences," Journal of Economic Theory, Elsevier, vol. 146(2), pages 728-750, March.
    3. Leandro Nascimento & Gil Riella, 2013. "Second-order ambiguous beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 52(3), pages 1005-1037, April.

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    Keywords

    Monotonicity Independence Ambiguity;

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