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Differentiating Ambiguity: A Comment

Author

Listed:
  • Jurgen Eichberger

    (Alfred Weber Institut, Universitat HeidelbergAuthor-Name:)

  • Simon Grant

    (Rice University, Texas and Australian National University)

  • David Kelsey

    (Department of Economics, University of Exeter)

Abstract

In Ghirardato, Macheroni and MArcinaccri (GMM) propose a method for distinguishing between percieved ambiguity and the decision-maker's reaction to it. They study a general class of preferences which includes CEU and a-MEU and axiomatise a subclass of a-MEU preferences. We show that for Hurwicz preferences the proposed measure of ambiguity depends on parameters which intuitively reflect ambiguity-attitude. Furthermore, any a-MEU preferences which satisfy the CEU axioms, satisfy GMM's axioms if and only if a = 0 or 1, that is, the capacity must be convex or concave.

Suggested Citation

  • Jurgen Eichberger & Simon Grant & David Kelsey, 2006. "Differentiating Ambiguity: A Comment," Discussion Papers 0606, Exeter University, Department of Economics.
  • Handle: RePEc:exe:wpaper:0606
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    File URL: http://people.exeter.ac.uk/cc371/RePEc/dpapers/DP0606.pdf
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    Citations

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    Cited by:

    1. 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.
    2. Eichberger, Jürgen & Guerdjikova, Ani, 2013. "Ambiguity, data and preferences for information – A case-based approach," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1433-1462.
    3. Jürgen Eichberger & Simon Grant & David Kelsey, 2008. "Differentiating ambiguity: an expository note," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(2), pages 327-336, August.

    More about this item

    Keywords

    Ambiguity; multiple priors; Hurwicz; Choquet expected utility.;

    JEL classification:

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

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