Comment on A theoretical foundation of ambiguity measurement [J. Econ. Theory 187 (2020) 105001]

• 成果类型: Editorial Material
• 署名作者: Fu, Ruonan; Melenberg, Bertrand; Schweizer, Nikolaus
• 署名单位: Tilburg University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2022.105573
• 发表日期: 2023
• 关键词: Ambiguity; model uncertainty; probability weighting

摘要

In this paper, we study asymptotic expansions for distorted probabilities under ambiguity, revisiting the framework and analysis of Izhakian (2020b). We argue that the first order terms in these expansions need to be corrected and provide alternatives. We also revisit later results in this paper on the separation of ambiguity and ambiguity attitudes. We argue that a crucial lemma is flawed implying that Izhakian's ambiguity measure (sic)(2) is not an equivalent way of representing the preferences it is supposed to represent. (c) 2022 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).