IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

When is ambiguity–attitude constant?

  • Jürgen Eichberger
  • Simon Grant
  • David Kelsey

    ()

This paper studies how updating affects ambiguity attitude. In particular we focus on generalized Bayesian updating of the Jaffray–Philippe sub-class of Choquet Expected Utility preferences. We find conditions for ambiguity attitude to be the same before and after updating. A necessary and sufficient condition for ambiguity attitude to be unchanged when updated on an arbitrary event is for the capacity to be neo-additive. We find a condition for updating on a given partition to preserve ambiguity attitude. We relate this to necessary and sufficient conditions for dynamic consistency. Finally, we study whether ambiguity increases or decreases after updating. Copyright Springer Science+Business Media New York 2012

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://hdl.handle.net/10.1007/s11166-012-9153-5
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Springer in its journal Journal of Risk and Uncertainty.

Volume (Year): 45 (2012)
Issue (Month): 3 (December)
Pages: 239-263

as
in new window

Handle: RePEc:kap:jrisku:v:45:y:2012:i:3:p:239-263
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=100299

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Dominiak, Adam & Lefort, Jean-Philippe, 2009. "Unambiguous Events and Dynamic Choquet Preferences," Working Papers 0489, University of Heidelberg, Department of Economics.
  2. Grant, Simon & Eichberger, Jürgen & Kelsey, David, 2004. "CEU Preferences and Dynamic Consistency," Sonderforschungsbereich 504 Publications 04-47, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  3. Eichberger, J. & Kelsey, D., 1993. "Uncertainty Aversion and Dynamic Consistency," Discussion Papers 93-08, Department of Economics, University of Birmingham.
  4. Chateauneuf, Alain & Eichberger, Jurgen & Grant, Simon, 2007. "Choice under uncertainty with the best and worst in mind: Neo-additive capacities," Journal of Economic Theory, Elsevier, vol. 137(1), pages 538-567, November.
  5. Itzhak Gilboa & David Schmeidler, 1991. "Updating Ambiguous Beliefs," Discussion Papers 924, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  6. Dominiak, Adam & Lefort, Jean-Philippe, 2011. "Unambiguous events and dynamic Choquet preferences," Economics Papers from University Paris Dauphine 123456789/7323, Paris Dauphine University.
  7. Eichberger, Jürgen & Grant, Simon & Kelsey, David & Koshevoy, Gleb A., 2011. "The [alpha]-MEU model: A comment," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1684-1698, July.
  8. Jurgen Eichberger & Simon Grant & David Kelsey, 2006. "Updating Choquet Beliefs," Discussion Papers 0607, Exeter University, Department of Economics.
  9. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
  10. Sarin, Rakesh K & Wakker, Peter, 1992. "A Simple Axiomatization of Nonadditive Expected Utility," Econometrica, Econometric Society, vol. 60(6), pages 1255-72, November.
  11. Larry G. Epstein & Martin Schneider, 2001. "Recursive Multiple-Priors," RCER Working Papers 485, University of Rochester - Center for Economic Research (RCER).
  12. Cohen, M. & Gilboa, I. & Jaffray, J.Y. & Schmeidler, D., 2000. "An experimental study of updating ambiguous beliefs," Risk, Decision and Policy, Cambridge University Press, vol. 5(02), pages 123-133, June.
  13. Ghirardato, Paolo & Maccheroni, Fabio & Marinacci, Massimo, 2004. "Differentiating ambiguity and ambiguity attitude," Journal of Economic Theory, Elsevier, vol. 118(2), pages 133-173, October.
  14. Peter Wakker, 2011. "Jaffray’s ideas on ambiguity," Theory and Decision, Springer, vol. 71(1), pages 11-22, July.
  15. Sujoy Mukerji & Peter Klibanoff and Kyoungwon Seo, 2011. "Relevance and Symmetry," Economics Series Working Papers 539, University of Oxford, Department of Economics.
  16. Sarin, Rakesh & Wakker, Peter P, 1998. "Dynamic Choice and NonExpected Utility," Journal of Risk and Uncertainty, Springer, vol. 17(2), pages 87-119, November.
  17. Eichberger, Jürgen & Grant, Simon & Kelsey, David, 2010. "Comparing three ways to update Choquet beliefs," Economics Letters, Elsevier, vol. 107(2), pages 91-94, May.
  18. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
  19. Jurgen Eichberger & Simon Grant & David Kelsey & Gleb A. Koshevoy, 2009. "The a-MEU Model: A Comment," Discussion Papers 0903, Exeter University, Department of Economics.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:kap:jrisku:v:45:y:2012:i:3:p:239-263. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)

or (Christopher F. Baum)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.