Differentiating ambiguity and ambiguity attitude

• 成果类型: Article
• 署名作者: Ghirardato, P; Maccheroni, F; Marinacci, M
• 署名单位: University of Turin; University of Turin; Bocconi University; Bocconi University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2003.12.004
• 发表日期: 2004
• 页码: 133-173
• 关键词: Ambiguity; unambiguous preference; Clarke differentials; alpha-maxmin expected utility

摘要

The objective of this paper is to show how ambiguity, and a decision maker (DM)'s response to it, can be modelled formally in the context of a general decision model. We introduce a relation derived from the DM's preferences, called unambiguous preference, and show that it can be represented by a set of probabilities. We provide such set with a simple differential characterization, and argue that it is a behavioral representation of the ambiguity that the DM may perceive. Given such revealed ambiguity, we provide a representation of ambiguity attitudes. We also characterize axiomatically a special case of our decision model, the alpha-maxmin expected utility model. (C) 2003 Elsevier Inc. All rights reserved.