When is ambiguity-attitude constant?

Jürgen Eichberger, Simon Grant, David Kelsey*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)

Abstract

This paper studies how updating affects ambiguity attitude. In particular we focus on generalized Bayesian updating of the Jaffray-Philippe sub-class of Choquet Expected Utility preferences. We find conditions for ambiguity attitude to be the same before and after updating. A necessary and sufficient condition for ambiguity attitude to be unchanged when updated on an arbitrary event is for the capacity to be neo-additive. We find a condition for updating on a given partition to preserve ambiguity attitude. We relate this to necessary and sufficient conditions for dynamic consistency. Finally, we study whether ambiguity increases or decreases after updating.

Original languageEnglish
Pages (from-to)239-263
Number of pages25
JournalJournal of Risk and Uncertainty
Volume45
Issue number3
DOIs
Publication statusPublished - Dec 2012
Externally publishedYes

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