A Note on Comparative Ambiguity Aversion and Justifiability

• 成果类型: Article
• 署名作者: Battigalli, P.; Cerreia-Vioglio, S.; Maccheroni, F.; Marinacci, M.
• 署名单位: Bocconi University; Bocconi University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA14429
• 发表日期: 2016
• 页码: 1903-1916
• 关键词: expected utility; equilibrium; MODEL

摘要

We consider a decision maker who ranks actions according to the smooth ambiguity criterion of Klibanoff, Marinacci, and Mukerji (2005). An action is justifiable if it is a best reply to some belief over probabilistic models. We show that higher ambiguity aversion expands the set of justifiable actions. A similar result holds for risk aversion. Our results follow from a generalization of the duality lemma of Wald (1949) and Pearce (1984).