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Second order beliefs models of choice under imprecise risk: non-additive second order beliefs vs. nonlinear second order utility

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    (Department of Economics, University of Paris 8, LED)

Abstract

This paper discusses models of choice under imprecise objective probabilistic information featuring beliefs about beliefs -- second order beliefs. A new model, called Second Order Dual Expected Utility (SODEU) featuring non-additive second order beliefs is introduced, axiomatized and systematically contrasted with the leading alternative model of this kind, the Second Order Subjective Expected Utility (SOSEU) model (Klibanoff, Marinacci, Mukerji, 2005; Nau, 2006; Seo, 2009) for which, for the sake of comparison, we provide a new axiomatization, dispensing with the complex constructs used in extant axiomatizations. Ambiguity attitude and attitude toward information in general are discussed and characterized.

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  • ,, 2014. "Second order beliefs models of choice under imprecise risk: non-additive second order beliefs vs. nonlinear second order utility," Theoretical Economics, Econometric Society, vol. 9(3), September.
    • Handle: RePEc:the:publsh:569
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    Cited by:

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    3. Frank Riedel, 2017. "Uncertain Acts in Games," Homo Oeconomicus: Journal of Behavioral and Institutional Economics, Springer, vol. 34(4), pages 275-292, December.
    4. Massimo Marinacci, 2015. "Model Uncertainty," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1022-1100, December.
    5. Flores-Szwagrzak, Karol, 2022. "Learning by Convex Combination," Working Papers 16-2022, Copenhagen Business School, Department of Economics.
    6. Yehuda Izhakian & Zur Izhakian, 2015. "Decision making in phantom spaces," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 58(1), pages 59-98, January.

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    More about this item

    Keywords

    Imprecise probabilistic information; second order beliefs; non-additive probabilities; ambiguity aversion; Ellsberg paradox; Choquet integral;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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