A behavioral characterization of plausible priors

• 成果类型: Article
• 署名作者: Siniscalchi, Marciano
• 署名单位: Northwestern University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2005.02.011
• 发表日期: 2006
• 页码: 91-135
• 关键词: Ambiguity; multiple priors; maxmin expected utility

摘要

Recent decision theories represent ambiguity via multiple priors, interpreted as alternative probabilistic models of the relevant uncertainty. This paper provides a robust behavioral foundation for this interpretation. A prior P is plausible if preferences over some subset of acts admit an expected utility representation with prior P, but not with any other prior Q not equal P. Under suitable axioms, plausible priors can be elicited from preferences, and fully characterize them; also, probabilistic sophistication implies that there exists only one plausible prior; finally, plausible posteriors can be derived via Bayesian updating. Several familiar decision models are consistent with the proposed axioms. (c) 2005 Elsevier Inc. All rights reserved.