When is ambiguity-attitude constant?
Eichberger, Jürgen; Grant, Simon; Kelsey, David
Date: 2012
Journal
Journal of Risk and Uncertainty
Publisher
Springer
Publisher DOI
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Abstract
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 ...
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.
Economics
Faculty of Environment, Science and Economy
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