When is ambiguity-attitude constant?: presented at CESifo Area Conference on Applied Microeconomics, March 2012
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 suffici...
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| Main Authors: | , , |
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| Format: | Book/Monograph Working Paper |
| Language: | English |
| Published: |
Munich
Univ., Center for Economic Studies
2012
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| Series: | CESifo working paper series Behavioural economics
3768 |
| In: |
CESifo working papers (3768)
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| Online Access: |
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| Author Notes: | Jürgen Eichberger ; Simon Grant ; David Kelsey |
| Summary: | 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. |
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| Item Description: | Literaturverz. S.33-34 |