When is ambiguity-attitude constant?
Journal of Risk and Uncertainty
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.
Research supported in part by a Leverhulme Research Fellowship.
Pre-print version. The final publication is available at Springer via http://dx.doi.org/10.1007/s11166-012-9153-5
Vol. 45, Issue 3, pp. 239 - 263