When is ambiguity-attitude constant?

Arbeitspapier

This paper studies how updating affects ambiguity-attitude. In particular we focus on the generalized Bayesian update of the Jaffray-Phillipe 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CESifo Working Paper ; No. 3768

Classification and Topics

• Classification: Wirtschaft ; Noncooperative Games ; Criteria for Decision-Making under Risk and Uncertainty
• Subject: ambiguity ; generalized Bayesian update ; learning ; dynamic consistency ; Choquet Expected Utility ; Entscheidung bei Unsicherheit ; Lernprozess ; Erwartungsnutzen ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Eichberger, Jürgen ; Grant, Simon ; Kelsey, David
• Event: Veröffentlichung
• (who): Center for Economic Studies and ifo Institute (CESifo)
• (where): Munich
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/57290
• Last update: 10.03.2025, 11:42 AM CET