A lot of ambiguity

• 成果类型: Article
• 署名作者: Safra, Zvi; Segal, Uzi
• 署名单位: University of Warwick; Boston College
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2021.105393
• 发表日期: 2022
• 关键词: Ellsberg urns; Repeated ambiguity; Compound gambles; Choquet expected utility; maxmin; The smooth model

摘要

We consider a risk averse decision maker who dislikes ambiguity as in the Ellsberg urns. We analyze atti-tudes to ambiguity when the decision maker is exposed to unrelated sequences of ambiguous situations. We discuss the Choquet expected utility, the smooth, and the maxmin models. Our main results offer conditions under which ambiguity aversion disappears even without learning and conditions under which it does not. An appendix analyzes compound gambles within the expected utility model and demonstrates how to rank them.(c) 2021 Elsevier Inc. All rights reserved.