When is ambiguity-attitude constant?
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 sufficien...
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| Main Authors: | , , |
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| Format: | Article (Journal) |
| Language: | English |
| Published: |
4 December 2012
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| In: |
Journal of risk and uncertainty
Year: 2012, Volume: 45, Issue: 3, Pages: 239-263 |
| ISSN: | 1573-0476 |
| DOI: | 10.1007/s11166-012-9153-5 |
| Online Access: | Verlag, Volltext: https://doi.org/10.1007/s11166-012-9153-5
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| Author Notes: | Jürgen Eichberger, Simon Grant, David Kelsey |
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| 520 | |a 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. | ||
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