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When is ambiguity-attitude constant?

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posted on 2025-07-30, 22:35 authored by Jürgen Eichberger, Simon Grant, David Kelsey
This paper studies how updating affects ambiguity attitude. In particular we focus on generalized Bayesian updating of the Jaffray-Philippe sub-class of Choquet Expected Utility preferences. We find conditions for ambiguity attitude to be the same before and after updating. A necessary and sufficient condition for ambiguity attitude to be unchanged when updated on an arbitrary event is for the capacity to be neo-additive. We find a condition for updating on a given partition to preserve ambiguity attitude. We relate this to necessary and sufficient conditions for dynamic consistency. Finally, we study whether ambiguity increases or decreases after updating.

Funding

Research supported in part by a Leverhulme Research Fellowship.

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Notes

Pre-print version. The final publication is available at Springer via http://dx.doi.org/10.1007/s11166-012-9153-5

Journal

Journal of Risk and Uncertainty

Publisher

Springer

Language

en

Citation

Vol. 45, Issue 3, pp. 239 - 263

Department

  • Economics

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