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Measuring Beliefs Under Ambiguity

Author

Listed:
  • Mohammed Abdellaoui

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

  • Han Bleichrodt

    (Department of Applied Economics - Erasmus University Rotterdam)

  • Emmanuel Kemel

    (CNRS - Centre National de la Recherche Scientifique)

  • Olivier L’haridon

    (CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper presents a simple method to measure the beliefs of a decision-maker with nonneutral ambiguity attitudes. Our method requires three simple choices, is incentive compatible, and allows for risk aversion and deviations from expected utility, including probability weighting and ambiguity aversion. An experiment using two natural sources of uncertainty (the temperature in Rotterdam and in New York City) shows that the model’s estimated beliefs are well calibrated, sensitive to the source of uncertainty, and similar to beliefs estimated by more sophisticated but time-consuming methods.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Mohammed Abdellaoui & Han Bleichrodt & Emmanuel Kemel & Olivier L’haridon, 2021. "Measuring Beliefs Under Ambiguity," Post-Print halshs-02886673, HAL.
    • Handle: RePEc:hal:journl:halshs-02886673
    DOI: 10.1287/opre.2020.1980
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    Cited by:

    1. Mohamed El Guide & Yassine Kaouane & Sonia Mun & Hayat Zouiten, 2025. "Attitudes towards natural sources of uncertainty for gains and losses," Theory and Decision, Springer, vol. 98(3), pages 405-445, May.
    2. Wei Wang & Huifu Xu, 2023. "Preference robust distortion risk measure and its application," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 389-434, April.
    3. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
    4. Kim, Hwa-Sung, 2021. "Risk management and optimal capital structure under ambiguity," Finance Research Letters, Elsevier, vol. 40(C).
    5. Cédric Gutierrez & Emmanuel Kemel, 2024. "Measuring natural source dependence," Experimental Economics, Springer;Economic Science Association, vol. 27(2), pages 379-416, April.
    6. Mohammed Abdellaoui & Han Bleichrodt & Cédric Gutierrez, 2023. "Unpacking Overconfident Behavior When Betting on Oneself," Post-Print hal-04383402, HAL.
    7. Cédric Gutierrez & Emmanuel Kemel, 2024. "Measuring natural source dependence," Post-Print hal-04866878, HAL.
    8. Li, Chen & Turmunkh, Uyanga & Wakker, Peter P., 2020. "Social and strategic ambiguity versus betrayal aversion," Games and Economic Behavior, Elsevier, vol. 123(C), pages 272-287.
    9. Kpegli, Yao Thibaut & Corgnet, Brice & Zylbersztejn, Adam, 2023. "All at once! A comprehensive and tractable semi-parametric method to elicit prospect theory components," Journal of Mathematical Economics, Elsevier, vol. 104(C).
    10. Cédric Gutierrez & Emmanuel Kemel, 2021. "Measuring natural source dependence," Working Papers hal-03330409, HAL.
    11. Li, Zheng & Hensher, David A. & Zeng, Jingjing, 2022. "Travel choice behaviour under uncertainty in real-market settings: A source-dependent utility approach," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 168(C).
    12. Liu, Haiyan, 2024. "Worst-case risk with unspecified risk preferences," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 235-248.

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