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

  • Giraud, Raphaël

    ()

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

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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Article provided by Econometric Society in its journal Theoretical Economics.

Volume (Year): 9 (2014)
Issue (Month): 3 (September)
Pages:

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Handle: RePEc:the:publsh:569
Contact details of provider: Web page: http://econtheory.org

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  1. Leandro Nascimento & Gil Riella, 2013. "Second-order ambiguous beliefs," Economic Theory, Springer, vol. 52(3), pages 1005-1037, April.
  2. Raphaël Giraud & Jean-Marc Tallon, 2009. "Are beliefs a matter of taste ? A case for objective imprecise information," Documents de travail du Centre d'Economie de la Sorbonne 09086, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  3. Paolo Ghirardato & Massimo Marinacci, 2000. "Risk, Ambiguity, and the Separation of Utility and Beliefs," Levine's Working Paper Archive 7616, David K. Levine.
  4. Zhou, Lin, 1999. "Subjective probability theory with continuous acts," Journal of Mathematical Economics, Elsevier, vol. 32(1), pages 121-130, August.
  5. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2011. "On the Smooth Ambiguity Model: A Reply," Working Papers 410, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  6. Kyoungwon Seo, 2009. "Ambiguity and Second-Order Belief," Econometrica, Econometric Society, vol. 77(5), pages 1575-1605, 09.
  7. David S. Ahn, 2008. "Ambiguity Without a State Space," Review of Economic Studies, Oxford University Press, vol. 75(1), pages 3-28.
  8. 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.
  9. Thibault Gajdos & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2004. "Decision Making with Imprecise Probabilistic Information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00086021, HAL.
  10. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-87, May.
  11. Gajdos, T. & Hayashi, T. & Tallon, J.-M. & Vergnaud, J.-C., 2008. "Attitude toward imprecise information," Journal of Economic Theory, Elsevier, vol. 140(1), pages 27-65, May.
  12. Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2002. "A smooth model of decision making under ambiguity," ICER Working Papers - Applied Mathematics Series 11-2003, ICER - International Centre for Economic Research, revised Apr 2003.
  13. Gollier, Christian, 2009. "Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion," IDEI Working Papers 357, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2011.
  14. Ghirardato, Paolo & Marinacci, Massimo, 2002. "Ambiguity Made Precise: A Comparative Foundation," Journal of Economic Theory, Elsevier, vol. 102(2), pages 251-289, February.
  15. David Ahn & Syngjoo Choi & Douglas Gale & Shachar Kariv, 2014. "Estimating ambiguity aversion in a portfolio choice experiment," Quantitative Economics, Econometric Society, vol. 5, pages 195-223, 07.
  16. Amarante, Massimiliano, 2009. "Foundations of neo-Bayesian statistics," Journal of Economic Theory, Elsevier, vol. 144(5), pages 2146-2173, September.
  17. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2010. "Singed Integral Representations of Comonotonic Additive Functionals," Working Papers 366, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  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. repec:hal:journl:halshs-00451982 is not listed on IDEAS
  20. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
  21. Larry G. Epstein, 2010. "A Paradox for the “Smooth Ambiguity” Model of Preference," Econometrica, Econometric Society, vol. 78(6), pages 2085-2099, November.
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