A lot of ambiguity

Zvi Safra; Uzi Segal

doi:10.1016/j.jet.2021.105393

A lot of ambiguity

Zvi Safra, Uzi Segal^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

We consider a risk averse decision maker who dislikes ambiguity as in the Ellsberg urns. We analyze attitudes to ambiguity when the decision maker is exposed to unrelated sequences of ambiguous situations. We discuss the Choquet expected utility, the smooth, and the maxmin models. Our main results offer conditions under which ambiguity aversion disappears even without learning and conditions under which it does not. An appendix analyzes compound gambles within the expected utility model and demonstrates how to rank them.

Original language	English
Article number	105393
Journal	Journal of Economic Theory
Volume	200
DOIs	https://doi.org/10.1016/j.jet.2021.105393
State	Published - Mar 2022
Externally published	Yes

Keywords

Choquet expected utility
Compound gambles
Ellsberg urns
Maxmin
Repeated ambiguity
The smooth model

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10.1016/j.jet.2021.105393

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abstract = "We consider a risk averse decision maker who dislikes ambiguity as in the Ellsberg urns. We analyze attitudes to ambiguity when the decision maker is exposed to unrelated sequences of ambiguous situations. We discuss the Choquet expected utility, the smooth, and the maxmin models. Our main results offer conditions under which ambiguity aversion disappears even without learning and conditions under which it does not. An appendix analyzes compound gambles within the expected utility model and demonstrates how to rank them.",

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AB - We consider a risk averse decision maker who dislikes ambiguity as in the Ellsberg urns. We analyze attitudes to ambiguity when the decision maker is exposed to unrelated sequences of ambiguous situations. We discuss the Choquet expected utility, the smooth, and the maxmin models. Our main results offer conditions under which ambiguity aversion disappears even without learning and conditions under which it does not. An appendix analyzes compound gambles within the expected utility model and demonstrates how to rank them.

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KW - Repeated ambiguity

KW - The smooth model

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A lot of ambiguity

Abstract

Keywords

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