Random ambiguity

Artikel

We introduce a model of random ambiguity aversion. Choice is stochastic due to unobserved shocks to both information and ambiguity aversion. This is modeled as a random set of beliefs in the maxmin expected utility model of Gilboa and Schmeidler (1989). We characterize the model and show that the distribution of ambiguity aversion can be uniquely identified using binary choices. A novel stochastic order on random sets is introduced that characterizes greater uncertainty aversion under stochastic choice. If the set of priors is the Aumann expectation of the random set, then choices satisfy dynamic consistency. This corresponds to an agent who knows the distribution of signals but is uncertain about how to interpret signal realizations. More broadly, the analysis of stochastic properties of random ambiguity attitudes provides a theoretical foundation for the study of models of random non-linear utility.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Theoretical Economics ; ISSN: 1555-7561 ; Volume: 16 ; Year: 2021 ; Issue: 2 ; Pages: 539-570 ; New Haven, CT: The Econometric Society

Classification and Topics

• Classification: Wirtschaft ; Criteria for Decision-Making under Risk and Uncertainty ; Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
• Subject: Stochastic choice ; ambiguity ; random utility ; updating

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lu, Jay
• Event: Veröffentlichung
• (who): The Econometric Society
• (where): New Haven, CT
• (when): 2021

Further information

• DOI: doi:10.3982/TE3810
• Handle: http://hdl.handle.net/10419/253493
• Last update: 10.03.2025, 11:42 AM CET